Essays in Macroeconomics, Finance and Risk
Title | Essays in Macroeconomics, Finance and Risk PDF eBook |
Author | |
Publisher | |
Pages | 220 |
Release | 2014 |
Genre | |
ISBN | 9781321033809 |
In the first Chapter of this dissertation, I develop a novel dynamic general equilibrium model of banking panics (multiple equilibria) and I analyze the effects of monetary injections during a financial crisis. In the second Chapter, I provide an Irrelevance Proposition that identifies the paths of money supply that are consistent with zero nominal interest rates in a large class of monetary models, with implications for monetary policy at the zero lower bound and for the analysis of the Friedman rule. The last Chapter (joint with Balazs Szentes) derives a utility representation of the evolutionary optimal behavior when a population faces choices over lotteries which determine the number of offspring and involve both idiosyncratic and aggregate risks.
Macroeconomics, Finance and Money
Title | Macroeconomics, Finance and Money PDF eBook |
Author | Giuseppe Fontana |
Publisher | Springer |
Pages | 363 |
Release | 2010-03-11 |
Genre | Business & Economics |
ISBN | 0230285589 |
This volume focuses on current issues of debate in the area of modern macroeconomics and money, written from (a broadly interpreted) post Keynesian perspective. The papers connect with Philip Arestis' contributions to macroeconomics and money, and pay tribute to his distinguished career.
Essays in Financial Economics
Title | Essays in Financial Economics PDF eBook |
Author | Rita Biswas |
Publisher | Emerald Group Publishing |
Pages | 168 |
Release | 2019-10-24 |
Genre | Business & Economics |
ISBN | 1789733898 |
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
Essays on Finance and Macroeconomics
Title | Essays on Finance and Macroeconomics PDF eBook |
Author | Sebastian Tariacuri Di Tella |
Publisher | |
Pages | 94 |
Release | 2013 |
Genre | |
ISBN |
This thesis studies the role of the financial system in the amplification and propagation of business cycles. Chapter 1 studies the origin and propagation of balance sheet recessions. I first show that in standard models driven by TFP shocks, the balance sheet channel disappears when agents are allowed to write contracts on the aggregate state of the economy. In contrast, I show how uncertainty shocks can drive balance sheet recessions with depressed asset prices and growth, and trigger a "flight to quality" event with low interest rates and high risk-premia. Uncertainty shocks create an endogenous hedging motive that induces financial intermediaries to take on a disproportionate fraction of aggregate risk, even when contracts can be written on the aggregate state of the economy. Finally, I explore some implications for financial regulation. Chapter 2 studies a tractable model of dynamic moral hazard with purely pecuniary private benefits. The agent can trade a productive asset and secretly divert funds to a private account and use them to "recontract": at any time he can offer a new continuation contract to the principal, who accepts if the new contract is attractive. The main result is that the optimal contract can be characterized as the solution to a standard portfolio problem with a simple "skin in the game" constraint. The setting places few restrictions on preferences and the distribution of shocks, distinguishes between (observable) aggregate shocks and (unobservable) idiosyncratic shocks, and takes arbitrary general equilibrium prices as given. This makes the results easily applicable to many macro and financial applications. Chapter 3 explores under what conditions the presence of moral hazard can create a balance sheet amplification channel. If the private action of the agent exposes him to aggregate risk through his unobserved private benefit, the optimal contract will try to over-expose him to aggregate risk to deter him from misbehaving. This creates a tradeoff between aggregate and idiosyncratic risk-sharing. More productive agents naturally want to leverage more and therefore have larger incentives to distort their aggregate risk-sharing in order to reduce their exposure to idiosyncratic risk. In equilibrium, therefore, more productive agents take on a disproportionate fraction of aggregate risk, creating a balance sheet channel.
Nonlinear Economic Dynamics and Financial Modelling
Title | Nonlinear Economic Dynamics and Financial Modelling PDF eBook |
Author | Roberto Dieci |
Publisher | Springer |
Pages | 384 |
Release | 2014-07-26 |
Genre | Business & Economics |
ISBN | 3319074709 |
This book reflects the state of the art on nonlinear economic dynamics, financial market modelling and quantitative finance. It contains eighteen papers with topics ranging from disequilibrium macroeconomics, monetary dynamics, monopoly, financial market and limit order market models with boundedly rational heterogeneous agents to estimation, time series modelling and empirical analysis and from risk management of interest-rate products, futures price volatility and American option pricing with stochastic volatility to evaluation of risk and derivatives of electricity market. The book illustrates some of the most recent research tools in these areas and will be of interest to economists working in economic dynamics and financial market modelling, to mathematicians who are interested in applying complexity theory to economics and finance and to market practitioners and researchers in quantitative finance interested in limit order, futures and electricity market modelling, derivative pricing and risk management.
Managing Global Money
Title | Managing Global Money PDF eBook |
Author | Graham Bird |
Publisher | Springer |
Pages | 308 |
Release | 1988-05-24 |
Genre | Business & Economics |
ISBN | 1349095885 |
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Risk Topography
Title | Risk Topography PDF eBook |
Author | Markus Brunnermeier |
Publisher | University of Chicago Press |
Pages | 286 |
Release | 2014-10-17 |
Genre | Business & Economics |
ISBN | 022609264X |
The recent financial crisis and the difficulty of using mainstream macroeconomic models to accurately monitor and assess systemic risk have stimulated new analyses of how we measure economic activity and the development of more sophisticated models in which the financial sector plays a greater role. Markus Brunnermeier and Arvind Krishnamurthy have assembled contributions from leading academic researchers, central bankers, and other financial-market experts to explore the possibilities for advancing macroeconomic modeling in order to achieve more accurate economic measurement. Essays in this volume focus on the development of models capable of highlighting the vulnerabilities that leave the economy susceptible to adverse feedback loops and liquidity spirals. While these types of vulnerabilities have often been identified, they have not been consistently measured. In a financial world of increasing complexity and uncertainty, this volume is an invaluable resource for policymakers working to improve current measurement systems and for academics concerned with conceptualizing effective measurement.