Download or read book Essays on Financial Market Interdependence written by Lu Liu and published by . This book was released on 2012 with total page 105 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Markets Interdependence and Integration written by Antonios Antoniou and published by . This book was released on 2009 with total page 168 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on International Financial Markets Interdependence written by W. A. Mohammed and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Interdependence in Financial Markets written by Giulio Girardi and published by . This book was released on 2012 with total page 194 pages. Available in PDF, EPUB and Kindle. Book excerpt: "This dissertation consists of three essays that examine the interdependence in financial markets."--Abstract

Download or read book Debt Deficits and Exchange Rates written by Helmut Reisen and published by Edward Elgar Publishing. This book was released on 1994 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: Debt, Deficits and Exchange Rates presents recent work by Helmut Reisen on current international monetary problems in East Asia and Latin America. Written over the last four years, these papers are readily accessible and of immediate policy relevance. The first part is concerned with the debt problems of developing countries, including the growth of domestic public debt, means of hedging a country's debt portfolio against key currency fluctuations, evidence on the debt overhang hypothesis, an evaluation of the Brady Plan, and how to attract foreign direct investment. This is followed by essays on financial opening which discuss the impact of alternative exchange rate regimes during financial integration, the degree of financial openness in Korea and Taiwan, an appropriate strategy for the liberalization of capital flows, and the relationship between financial opening and capital flows. The final part underlines the need for exchange rate management. Issues considered include New Zealand's experience with a pure float, the use of the theory of optimal currency areas to assess whether Asian countries should peg to the Yen, institutional features of macroeconomic management in Asia, and how Latin America should respond to heavy capital flows. Bringing together under one cover a wealth of analysis, comment and argument by a leading international scholar, this volume will be welcomed by students, teachers and policymakers as an important contribution to understanding international monetary problems in the developing world.

Download or read book Economic Growth Capital Structures and Market Interdependence written by Sumit Agarwal and published by . This book was released on 1999 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Economic Interdependence written by Fabio Pietro Ghironi and published by . This book was released on 1999 with total page 530 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Market Structure and Economic Growth written by Nicola Cetorelli and published by . This book was released on 1996 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Time Series and Causality Analysis in Financial Markets written by Tatevik Zohrabyan and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial market and its various components are currently in turmoil. Many large corporations are devising new ways to overcome the current market instability. Consequently, any study fostering the understanding of financial markets and the dependencies of various market components would greatly benefit both the practitioners and academicians. To understand different parts of the financial market, this dissertation employs time series methods to model causality and structure and degree of dependence. The relationship of housing market prices for nine U.S. census divisions is studied in the first essay. The results show that housing market is very interrelated. The New England and West North Central census divisions strongly lead house prices of the rest of the country. Further evidence suggests that house prices of most census divisions are mainly influenced by house price changes of other regions. The interdependence of oil prices and stock market indices across countries is examined in the second essay. The general dependence structure and degree is estimated using copula functions. The findings show weak dependence between stock market indices and oil prices for most countries except for the large oil producing nations which show high dependence. The dependence structure for most oil consuming (producing) countries is asymmetric implying that stock market index and oil price returns tend to move together more during the market downturn (upturn) than a market boom (downturn). In the third essay, the relationship among stock returns of ten U.S. sectors is studied. Copula models are used to explore the non-linear, general association among the series. The evidence shows that sectors are strongly related to each other. Energy sector is relatively weakly connected with the other sectors. The strongest dependence is between the Industrials and Consumer Discretionary sectors. The high dependence suggests small (if any) gains from industry diversification in U.S. In conclusion, the correct formulation of relationships among variables of interest is crucial. This is one of the fundamental issues in portfolio analysis. Hence, a thorough examination of time series models that are used to understand interactions of financial markets can be helpful for devising more accurate investment strategies.

Download or read book Essays on Financial Markets Inequality and Economic Development written by Joaquin Blaum and published by . This book was released on 2012 with total page 128 pages. Available in PDF, EPUB and Kindle. Book excerpt: In Chapter 1, I study the effects of wealth inequality on economies where financial markets are imperfect. I exploit the idea that inequality should have a different effect across sectors. Using a difference-in-difference strategy, I show that sectors that are more in need of external finance are relatively smaller in countries with higher income inequality. I then build a model in which sectors differ in their fixed cost requirement, agents face collateral constraints, and production is subject to decreasing returns. A calibrated version of the model is consistent with the documented facts on inequality and cross-sector outcomes. At the calibrated parameters, wealth inequality exacerbates the effect of financial frictions on the economy. Quantitatively, wealth inequality can generate losses of up to 46 percent of per capita income. In Chapter 2, co-authored with Claire Lelarge and Michael Peters, we explore the ingredients that a model of import behavior should have in order to be consistent with the firm level evidence. We build a model where firms are heterogeneous in their factor neutral productivity, and prices, fixed costs and input qualities are common across firms. Using a comprehensive dataset of French firms, we test the qualitative predictions of such model. The model fares well in describing firm's expenditure across imported varieties, but fails to account for the pattern of expenditure between domestic and foreign inputs. We conclude that a mechanism inducing firm-level heterogeneity in the relative price of domestic varieties is needed to model import demand. In Chapter 3, I study the effects of financial frictions on the pattern of cross-industry growth rates. I document two facts: (i) externally dependent sectors tend to grow faster along the economy's development path, and (ii) externally dependent sectors grow disproportionately faster in countries with better financial institutions. I argue that financial frictions can account for these facts. I build a dynamic two-sector model in which sectors differ in their liquidity requirement and agents face collateral constraints. Financial frictions generate faster growth in the sector with higher liquidity requirement. I identify conditions under which financial development leads to higher excess growth in the externally dependent sector.

Download or read book Two Essays in Financial Markets Development and Economic Growth written by Ariuntungalag Taivan and published by . This book was released on 2012 with total page 133 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Three Essays on Financial Liberalization Financial Market and Economic Growth written by Rong-Chang Wu and published by . This book was released on 1996 with total page 304 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Market Imperfections written by Ding Wu (Ph. D.) and published by . This book was released on 2007 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation consists of three chapters on financial market imperfections, in particular, information imperfections. Chapter 1 studies how the existence of a fixed cost per transaction faced by uninformed investors hampers information revelation through price and exacerbates adverse selection. The exacerbated adverse selection explains one long-standing puzzle in finance - the momentum anomaly. Properly adjusting stock returns for adverse selection by using data on trading volume substantially mitigates momentum-based arbitrage profits for the sample period from 1983 to 2004. Chapter 2 studies how information asymmetry prevents perfect risk-sharing and offers insights on stock return behavior. Chapter 3 explores the idea of Tobin's tax in the context of an emerging market and in particular examines the cost effects on speculation in the Chinese stock market.

Download or read book Essays on Interdependencies in Emerging Financial Markets written by and published by . This book was released on 2007 with total page 91 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Incomplete Financial Markets written by Alessandro Citanna and published by . This book was released on 1995 with total page 260 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Financial Market Volatility written by Ai Jun Hou and published by . This book was released on 2011 with total page 131 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Investment Fluctuation and Market Volatility written by Chaoqun Lai and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation includes two different groups of objects in macroeconomics and financial economics. In macroeconomics, the aggregate investment fluctuation and its relation to an individual firm's behavior have been extensively studied for the past three decades. Most studies on the interdependence behavior of firms' investment focus on the key issue of separating a firm's reaction to others' behavior from reaction to common shocks. However, few researchers have addressed the issue of isolating this endogenous effect from a statistical and econometrical approach. The first essay starts with a comprehensive review of the investment fluctuation and firms' interdependence behavior, followed by an econometric model of lumpy investments and an analysis of the binary choice behavior of firms' investments. The last part of the first essay investigates the unique characteristics of the Italian economy and discusses the economic policy implications of our research findings. We ask a similar question in the field of financial economics: Where does stock market volatility come from? The literature on the sources of such volatility is abundant. As a result of the availability of high-frequency financial data, attention has been increasingly directed at the modeling of intraday volatility of asset prices and returns. However, no empirical research of intraday volatility analysis has been applied at both a single stock level and industry level in the food industry. The second essay is aimed at filling this gap by modeling and testing intraday volatility of asset prices and returns. It starts with a modified High Frequency Multiplicative Components GARCH (Generalized Autoregressive Conditional Heteroscedasticity) model, which breaks daily volatility into three parts: daily volatility, deterministic intraday volatility, and stochastic intraday volatility. Then we apply this econometric model to a single firm as well as the whole food industry using the Trade and Quote Data and Center for Research in Security Prices data. This study finds that there is little connection between the intraday return and overnight return. There exists, however, strong evidence that the food recall announcements have negative impacts on asset returns of the associated publicly traded firms.