Essays On Information And Coordination In Financial Markets
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Essays On Information And Coordination In Financial Markets
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Author : Christina E. Bannier
language : de
Publisher:
Release Date : 2005
Essays On Information And Coordination In Financial Markets written by Christina E. Bannier and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2005 with categories.
Essays On Coordination And Financial Markets
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Author : Nicholas B. Galunic
language : en
Publisher:
Release Date : 2012
Essays On Coordination And Financial Markets written by Nicholas B. Galunic and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2012 with Equilibrium (Economics) categories.
This dissertation is concerned with microeconomic models of equilibrium pricing in financial markets of varying organizational scope. The first two chapters are based on game-theoretic models characterized by a coordination problem. I begin at the industry level in Chapter 2 where I solve the chicken-or-the-egg problem of platform pricing. I show that the elasticity of demand is greater for the more valued side and hence a monopolist will charge that side a lower price. These results have implications on how exchanges admit traders and apply to more general two-sided markets. My findings are supported by experimental tests. Chapter 3 examines regulatory efficacy in manipulating a currency market with a peg. I solve for equilibrium speculator conduct and central bank intervention policy where the speculator population is discrete. Sudden equilibrium price collapses are related explicitly to fundamentals. The main findings are again supported by experimental tests. In the final chapter, I study a market where strategic behavior is set aside and market participants are instead assumed to be perfect delta hedgers who immediately exploit arbitrage opportunities. I numerically estimate the equilibrium price of an exotic option in such a market.
Essays On Incomplete Financial Markets
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Author : Alessandro Citanna
language : en
Publisher:
Release Date : 1995
Essays On Incomplete Financial Markets written by Alessandro Citanna and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995 with categories.
Essays In Incomplete Markets And Financial Intermediation
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Author : Enrique Lucio Kawamura
language : en
Publisher:
Release Date : 1999
Essays In Incomplete Markets And Financial Intermediation written by Enrique Lucio Kawamura and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with categories.
These essays attempt to analyze information and coordination problems arising in economies with financial intermediaries and incomplete markets, as well as some policy implications for banking systems.
Intervention Interest Rates And Charts
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Author : Mr.Mark P. Taylor
language : en
Publisher: International Monetary Fund
Release Date : 1991-11-01
Intervention Interest Rates And Charts written by Mr.Mark P. Taylor and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1991-11-01 with Business & Economics categories.
This paper contains essays on sterilized intervention, on covered interest rate parity, and on chartist analysis in financial markets. Each essay contains a definition, brief survey of the empirical evidence and overall assessment of each topic.
Essays On Information Aggregation Herding And Volatility In Financial Markets
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Author : Vladyslav Yuriyvich Sushko
language : en
Publisher:
Release Date : 2011
Essays On Information Aggregation Herding And Volatility In Financial Markets written by Vladyslav Yuriyvich Sushko and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
Essays In Information And Contracts In Financial Markets
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Author : Gregory William Weitzner
language : en
Publisher:
Release Date : 2020
Essays In Information And Contracts In Financial Markets written by Gregory William Weitzner and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020 with categories.
My dissertation contains two chapters. In chapter one I explore the relationship between debt maturity and information production in a theoretical model. In my model, long-term financing creates an excessive tendency for financiers to acquire information and screen out lower quality borrowers. In contrast, short-term financing deters information production at origination but induces it when firms are forced to liquidate, depressing the market value of assets due to adverse selection. Through the feedback effect between firms' maturity structures and asset prices, increases in uncertainty can impair the aggregate volume of short-term financing and investment. The analysis can jointly rationalize i) the widespread use of short-term debt by financial firms, ii) periodic disruptions in short-term funding markets and iii) regulations that curb short-term funding markets in normal times and support them in periods of market stress. In the second chapter, I analyze information externalities in the interbank market. In the model, banks use their information to adjust the size of loans rather than the prices they offer to counterparties because of adverse selection. Each banks' individual rationing decision creates an information externality that increases the efficiency of trade. This information externality occurs even though information is not shared and banks compete with each other. However, banks do not internalize the cost their contracts impose on other banks through the counterparty's likelihood of default, which creates a counteracting negative externality that exacerbates as the number banks increases. The model provides a microfoundation for interbank discipline and has implications for the optimal structure of interbank markets
Crisis Debt And Default
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Author : Philip Ernstberger
language : en
Publisher: Springer Gabler
Release Date : 2016-05-12
Crisis Debt And Default written by Philip Ernstberger and has been published by Springer Gabler this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-05-12 with Business & Economics categories.
Philip Ernstberger analyses in his three essays different topics of financial pathologies. Thereby, changes in fundamentals as well as information are considered as the driving force for the behavior of speculators and investors. The first essay deals with currency crises, in which the central bank, through setting the interest rate, steers the economy and defends against speculators. The second essay examines the effects of a rating and possible biases on the coordination of investors and the pricing of debt. In the third essay the author uses forecasts of default probabilities and implied market default probabilities to infer the weighing of information by investors.
Essays On The Interaction Between Monetary Policy And Financial Markets
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Author : Alain Durré
language : fr
Publisher: Presses univ. de Louvain
Release Date : 2003
Essays On The Interaction Between Monetary Policy And Financial Markets written by Alain Durré and has been published by Presses univ. de Louvain this book supported file pdf, txt, epub, kindle and other format this book has been release on 2003 with Business & Economics categories.
Despite the consequences of financial bubbles on economic activity, it is still an open question to what extent the monetary policy should react to sharp fluctuations of equity prices. This dissertation attempts to contribute to the debate with some theoretical and empirical analyses of the relationship between monetary policy and financial markets. Chapter 1 incorporates the effect of real equity prices on aggregate demand in a forward-looking expectations neo-Keynesian model. This effect arises either from a wealth effect or from a change in consumers' confidence. The objective function of monetary authorities depends on the output gap and the deviation of expected inflation from the target. A numerical simulation, based on US data, illustrates the quantitative importance of the financial market channel for various exogenous shocks. In Chapter 2, the variation of equity prices enters explicitly in the loss function of the monetary authorities while, at the same time, it affects aggregate demand. This modifies the optimal monetary policy by increasing the volatility of the nominal interest rate. Chapter 3 examines how the launch of the European single currency has affected expectations on future monetary policy by comparing the econometric results of a co-integrated VAR model on pre- and post- January 1999 data. Chapter 4 deals with diverse methodological issues related to the estimation of the Taylor rule, which represents Central Bank decisions by a single and stable function. Several interesting results emerge from the modelling of the Fed funds rate over the period 1987-2002. In particular, assuming a discontinuous and asymmetric response of the Federal Reserve to fluctuations of equity prices, corrects the apparent instability of the rule.
Three Essays On The Role Of Information Networks In Financial Markets
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Author : Swasti Gupta-Mukherjee
language : en
Publisher:
Release Date : 2007
Three Essays On The Role Of Information Networks In Financial Markets written by Swasti Gupta-Mukherjee and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2007 with Capital market categories.
Based on previous evidence that there are information heterogeneities in capital markets, three essays including empirical frameworks for examining the information processes that impact portfolio investments and corporate investments was proposed. The first essay considers information channels among mutual fund managers (fund-fund networks), and between holding companies and fund managers (fund-company networks). Results show that (1) fund-fund (fund-company) information networks help in generating positive risk-adjusted returns from holdings in absence of fund-company (fund-fund) networks; (2) fund-company networks create information advantage only when the networks are relatively exclusive. Superior networks seem to pick stocks which outperform beyond the quarter. The second essay examines mutual fund managers' tendency to deviate from the strategies of their peers. Results indicate a significantly negative relationship between the managers' deviating tendency and fund performance, suggesting that the average fund manager is more likely to make erroneous decisions when they deviate from their peers. The third essay investigates the determinants of target choices in corporate acquisitions. Results reveal the influence of various factors, including information asymmetries, which may drive this behavior, including economic opportunities, anti-takeover regimes, competitive responses to other managers, and acquirers' size and book-to-market ratios.