Download or read book Understanding Financial Markets from a General Equilibrium Perspective written by Beate Pilgrim and published by . This book was released on 2001 with total page 276 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Financial Markets Theory written by Emilio Barucci and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 473 pages. Available in PDF, EPUB and Kindle. Book excerpt: A presentation of classical asset pricing theory, this textbook is the only one to address the economic foundations of financial markets theory from a mathematically rigorous standpoint and to offer a self-contained critical discussion based on empirical results. Tools for understanding the economic analysis are provided, and mathematical models are presented in discrete time/finite state space for simplicity. Examples and exercises included.

Download or read book General Equilibrium Foundations of Finance written by Thorsten Hens and published by Springer Science & Business Media. This book was released on 2013-03-09 with total page 313 pages. Available in PDF, EPUB and Kindle. Book excerpt: The purpose of this book is to give a sound economic foundation of finance. Finance is a coherent branch of applied economics that is designed to understand financial markets in order to give advice for practical financial decisions. This book argues that for a sound economic foundation of finance the famous general equilibrium model which in its modern form emphasizes the incompleteness of financial markets is well suited. The aim of the book is to demonstrate that financial markets can be meaningfully embedded into a more general system of markets including, for example, commodity markets. The interaction of these markets can be described via the well known notion of a competitive equilibrium. We argue that for a sound foundation this competitive equilibrium should be unique. In a first step we demonstrate that this essential goal cannot of be achieved based only on the rationality principle, i. e. on the assumption utility maximization of some utility function subject to the budget constraint. In particular we show that this important lack of structure is disturbing as well for the case of mean-variance utility functions which are the basis of the Capital Asset Pricing Model, one of the cornerstones of finance. The final goal of our book is to give reasonable restrictions on the agents' utility functions which lead to a well determined financial markets model.

Download or read book Financial Markets and the Macroeconomy written by Carl Chiarella and published by Routledge. This book was released on 2009-06-02 with total page 513 pages. Available in PDF, EPUB and Kindle. Book excerpt: This important new book from a group of Keynesian, but nonetheless technically-oriented economists explores one of the dominant paradigms in financial economics: the ‘intertemporal general equilibrium approach’.

Download or read book A General Equilibrium Model with Informal Financial Markets written by International Monetary Fund and published by International Monetary Fund. This book was released on 1991-02-01 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a general equilibrium framework for short-run macroeconomic analysis in a developing country context where controls on interest rates and foreign exchange restrictions lead to the emergence of informal financial markets. The complexity of the model precludes an analytical treatment. A simulation approach, based on parameters derived from estimates in the existing literature, is used to assess the properties of the model, which differ in important ways from those of standard open-economy models.

Download or read book Financial Markets Asymmetric Information and Macroeconomic Equilibrium written by Fabrizio Mattesini and published by Dartmouth Publishing Company. This book was released on 1993 with total page 208 pages. Available in PDF, EPUB and Kindle. Book excerpt: The study of the interaction between the financial sector and the sector of the economy is one of the most recent advances in macroeconomic theory. While mainstream economics assigns a passive role to the financial sector there is a growing body of literature which emphasizes the importance of financial intermediaries in explaining fluctuations and the determination of the process through which monetary policy impulses are transmitted to the rest of the economy. This literature has its origin in the models that rely on asymmetric information to explain imperfections in financial markts and in empirical evidence collected through various econometric techniques and through historical studies. This book surveys the relevant work ion the subject, evaluates the empirical evidence and the explanatory power of the theories proposed and furnishes new and empirical results.

Download or read book General Equilibrium Theory with Asymmetric Information and Incomplete Financial Markets written by Lionel Jean De Boisdeffre and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Partial Vs General equilibrium Models of the International Capital Market written by Bernard Dumas and published by . This book was released on 1993 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this essay, I discuss and compare two ways of modeling international capital market equilibrium: the orthodox, general-equilibrium approach and the heterodox, partial-equilibrium CAPM (Capital Asset Pricing Model) approach. The benchmark for this comparison is the model's ability to provide an explanation for, or take into account, a number of stylized facts of international finance: UIRP deviations, home-equity preference, PPP deviations and their persistence, consumption behavior in relation to wealth. In addition, I ask which approach is more likely in future research to help us identify the relevant state variables of the economy. None of the models satisfactorily explains the stylized facts but the CAPM approach affords the most productive avenue for empirical research in the immediate future.

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Download or read book Exploring General Equilibrium written by Fischer Black and published by MIT Press. This book was released on 1995 with total page 340 pages. Available in PDF, EPUB and Kindle. Book excerpt: The general equilibrium approach, Black asserts, can be used to explain most of the economy's behavior. It can explain business cycles and growth without using sticky prices, irrationality, economies of scale, or imperfect competition. It can explain the volatility of consumption, output, sales, investment, and inventories with axiomatic utility and constant-returns-to-scale production. It can explain temporary layoffs, job changes with and without intervening unemployment, and the behavior of vacancies. It can explain lower wages in part-time jobs, wages that increase rapidly with time on the job, and the forces that cause migration from poor to rich countries. Although the general equilibrium approach cannot be tested in conventional ways, it can be used to generate examples that explain stylized facts - generalized observations from the real world - that have preoccupied macroeconomists for the last decade. Black contrasts his interpretation of these facts with conventional views. Finally, he reviews a substantial body of literature on these topics.

Download or read book Financial Markets in Continuous Time written by Rose-Anne Dana and published by Springer Science & Business Media. This book was released on 2007-06-30 with total page 331 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book explains key financial concepts, mathematical tools and theories of mathematical finance. It is organized in four parts. The first brings together a number of results from discrete-time models. The second develops stochastic continuous-time models for the valuation of financial assets (the Black-Scholes formula and its extensions), for optimal portfolio and consumption choice, and for obtaining the yield curve and pricing interest rate products. The third part recalls some concepts and results of equilibrium theory and applies this in financial markets. The last part tackles market incompleteness and the valuation of exotic options.

Download or read book Theory of Incomplete Markets written by Michael Magill and published by MIT Press. This book was released on 2002 with total page 566 pages. Available in PDF, EPUB and Kindle. Book excerpt: Theory of incompl. markets/M. Magill, M. Quinzii. - V.1.

Download or read book Heterogeneous Preferences and General Equilibrium in Financial Markets written by Tyler Abbot and published by . This book was released on 2015 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A General Equilibrium Model with Informal Financial Markets written by Pierre-Richard Agenor and published by . This book was released on 2006 with total page 50 pages. Available in PDF, EPUB and Kindle. Book excerpt: The paper presents a general equilibrium framework for short-run macroeconomic analysis in a developing country context where controls on interest rates and foreign exchange restrictions lead to the emergence of informal financial markets. The complexity of the model precludes an analytical treatment. A simulation approach, based on parameters derived from estimates in the existing literature, is used to assess the properties of the model, which differ in important ways from those of standard open-economy models.

Download or read book Financial Frictions and Firm Informality A General Equilibrium Perspective written by Luis Franjo and published by INTERNATIONAL MONETARY FUND. This book was released on 2020-09-25 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we build a model of occupational choice with informal production and progressive income taxation. We calibrate the model to the Brazilian economy to evaluate the impact of removing financial frictions on informality. We find that financial deepening leads to a drop in the size of the informal sector (from 37 percent to 22 percent of official GDP), to an increase in measured TFP (by 4 percent), to an increase in official GDP (by 27 percent), to a decrease in tax evasion (by 17 percent) and to an increase in fiscal revenues (by 15 percent). When assessing the response of this policy at different levels of financial development, we find a non-linear relationship between the credit-to-GDP ratio on the one hand, and either the size of the informal economy, or GDP per capita on the other hand. We test these features with cross-country data and find evidence in favor of both types of non-linearity. We also investigate changes in the income tax progressitivity as an alternative policy and find it to be more effective in countries with a medium to high level of financial markets development.

Download or read book Financial Economics Risk and Information written by Marcelo Bianconi and published by World Scientific Publishing Company Incorporated. This book was released on 2003 with total page 523 pages. Available in PDF, EPUB and Kindle. Book excerpt: 6. Non-convexities and lotteries in general equilibrium. 6.1. Introduction. 6.2. A static decentralized competitive framework. 6.3. Competitive equilibrium. 6.4. Trade in lotteries. 6.5. Implications for the elasticity of labor supply. 6.6. Summary I. 6.7. General equilibrium approach to asymmetric information. 6.8. Basic structure, pareto optimality and decentralized competitive equilibrium. 6.9. An insurance problem with adverse selection. 6.10. Summary II. 6.11. Unemployment insurance, asset returns and adverse selection. 6.12. Basic structure. 6.13. Heterogeneity, efficiency, and market completeness. 6.14. Consequences for asset allocation. 6.15. Summary III -- 7. Dynamics I: discrete time. 7.1. Time and markets. 7.2. Introduction to financial contracts. 7.3. Summary I. 7.4. General equilibrium and asset pricing under uncertainty with complete markets. 7.5. General equilibrium under uncertainty: two equivalent approaches. 7.6. Pricing contingent claims in the two-period economy with complete markets. 7.7. Introduction to the multi-period economy. 7.8. Conditional and transitional probabilities, Markov processes, and conditional moments. 7.9. The multi-period economy again. 7.10. Asset prices in an infinite horizon exchange economy. 7.11. Excess returns. 7.12. Summary II. 7.13. Stochastic monetary theory. 7.14. Fisher equation and risk. 7.15. Summary III. 7.16. The financial problem of the firm in general equilibrium. 7.17. Summary IV. 7.18. Private information, stochastic growth and asset prices. 7.19. Recursive contracts, general equilibrium and asset prices. 7.20. Growth and asset prices with alternative arrangements. 7.21. Summary V -- 8. Dynamics II: continuous time. 8.1. Asset price dynamics, options and the Black-Scholes model. 8.2. Discrete time random walks. 8.3. A multiplicative model in discrete time and a preview of the lognormal random variable. 8.4. Introduction to random walk models of asset prices in continuous time. 8.5. A multiplicative model of asset prices in continuous time. 8.6. Introduction to Ito's lemma and the lognormal distribution again. 8.7. Ito's formula: the general case. 8.8. Asset price dynamics and risk. 8.9. Options. 8.10. The Black-Scholes partial differential equation. 8.11. The Black-Scholes formula for a European call option. 8.12. Summary I. 8.13. Introduction to equilibrium stochastic models. 8.14. Consumption growth and portfolio choice with logarithmic utility. 8.15. Consumption growth and portfolio choice with CRRA utility. 8.16. Capital accumulation and asset returns. 8.17. Risk aversion and intertemporal substitution. 8.18. Summary II

Download or read book Financial Market in a Macro Accounting General Equilibrium Model written by Kimagure Nshi and published by . This book was released on 2019 with total page 14 pages. Available in PDF, EPUB and Kindle. Book excerpt: The balance of macro accounting requires that there are economic entities have opposite preferences and take opposite economic activities like mirror copy (Nshi(2017)). This paper provides examples of uses of the symmetry rule for financial markets.Most important implication of the symmetry rule, financial trades keep total wealth in the economy to be invariant. That is, the nature of financial market is zero-sum game. Of course, the return on the actual financial market is not zero, and the paper shows the return comes from real investment including business investment. Finally, a balance approach to portfolio selection will be discussed using the symmetry rule in the accounting oriented general equilibrium model.