Asset prices, booms and recessions: financial economics from a dynamic perspective ; with 27 tables
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Springer
2006
|
| Ausgabe: | 2. ed. |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | X, 255 S. graph. Darst. |
| ISBN: | 3540287841 9783540287841 3540004327 |
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| 245 | 1 | 0 | |a Asset prices, booms and recessions |b financial economics from a dynamic perspective ; with 27 tables |c Willi Semmler |
| 250 | |a 2. ed. | ||
| 264 | 1 | |a Berlin [u.a.] |b Springer |c 2006 | |
| 300 | |a X, 255 S. |b graph. Darst. | ||
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Datensatz im Suchindex
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| adam_text | Table of Contents
Introduction 1
I Money, Bonds and Economic Activity
1 Money, Bonds and Interest Rates 9
1.1 Introduction 9
1.2 Some Basics 9
1.3 Macroeconomic Theories of the Interest Rate 10
1.4 Monetary Policy and Interest Rates 13
1.5 Monetary Policy and Asset Prices 14
1.6 Conclusions 15
2 Term Structure of Interest Rates 17
2.1 Introduction 17
2.2 Definitions and Theories 17
2.3 Empirical Tests on the Term Structure 19
2.4 Conclusions 23
II The Credit Market and Economic Activity
3 Theories on Credit Market, Credit Risk and Economic
Activity 27
3.1 Introduction 27
3.2 Perfect Capital Markets: Infinite Horizon and Two Period Models . 27
3.3 Imperfect Capital Markets: Some Basics 35
3.4 Imperfect Capital Markets: Microtheory 37
3.5 Imperfect Capital Markets: Macrotheory 39
3.6 Imperfect Capital Markets: The Micro Macro Link 43
3.7 Conclusions 48
4 Empirical Tests on Credit Market and Economic Activity 49
4.1 Introduction 49
4.2 Bankruptcy Risk and Economic Activity 49
4.3 Liquidity and Economic Activity in a Threshold Model 55
4.4 Estimations of Credit Risk and Sustainable Debt 63
4.5 Conclusions 76
VIII Table of Contents
III The Stock Market and Economic Activity
5 Approaches to Stock Market and Economic Activity 79
5.1 Introduction 79
5.2 The Intertemporal Approach 80
5.3 The Excess Volatility Theory 82
5.4 Heterogeneous Agents Models 84
5.5 The VAR Methodology 85
5.6 Regime Change Models 87
5.7 Conclusions 88
6 Macro Factors and the Stock Market 89
6.1 Introduction 89
6.2 A Dynamic Macro Model 90
6.3 Empirical Results 93
6.4 Conclusions 95
7 New Technology and the Stock Market 97
7.1 Introduction 97
7.2 Some Facts 97
7.3 The Model 99
7.4 Conclusions 102
IV Asset Pricing and Economic Activity
8 Static Portfolio Theory: CAPM and Extensions 105
8.1 Introduction 105
8.2 Portfolio Theory and CAPM: Simple Form 105
8.3 Portfolio Theory and CAPM: Generalizations 110
8.4 Efficient Frontier for an Equity Portfolio 112
8.5 Conclusions 113
9 Consumption Based Asset Pricing Models 115
9.1 Introduction 115
9.2 Present Value Approach 115
9.3 Asset Pricing with a Stochastic Discount Factor 116
9.4 Derivation of some Euler Equations 119
9.5 Consumption, Risky Assets and the Euler Equation 122
9.6 Conclusions 126
Table of Contents IX
10 Asset Pricing Models with Production 129
10.1 Introduction 129
10.2 Stylized Facts 131
10.3 The Baseline RBC Model 131
10.4 Asset Market Restrictions 133
10.5 Conclusions 135
V Foreign Exchange Market, Financial Instability and
Economic Activity
11 Balance Sheets and Financial Instability 139
11.1 Introduction 139
11.2 The Economy Wide Balance Sheets 140
11.3 Households Holding of Financial Assets 141
11.4 Shocks and Financial Market Reactions 143
11.5 Conclusions 144
12 Exchange Rate Shocks, Financial Crisis and Output Loss 145
12.1 Introduction 145
12.2 Stylized Facts 146
12.3 The Standard Exchange Rate Overshooting Model 147
12.4 Exchange Rate Shocks and Balance Sheets 151
12.5 Exchange Rate Shocks, Balance Sheets and Economic Contraction 153
12.6 Exchange Rate Shocks, Credit Rationing and Economic Contractions 159
12.7 Exchange Rate Shocks, Default Premia and Economic Contractions 163
12.8 Conclusions 167
13 International Portfolio and the Diversification of Risk ... 169
13.1 Introduction 169
13.2 Risk from Exchange Rate Volatility 169
13.3 Portfolio Choice and Diversification of Risk 172
13.4 International Bond Portfolio 173
13.5 International Equity Portfolio 175
13.6 Efficient Frontier of an International Portfolio 177
13.7 Conclusions 177
VI Advanced Modeling of Asset Markets
14 Agent Based and Evolutionary Modeling of Asset Markets 181
14.1 Introduction 181
X Table of Contents
14.2 Heterogeneous Agent Models 181
14.3 Evolutionary Models 184
14.4 Conclusions 187
15 Behavioral Models of Dynamic Asset Pricing 189
15.1 Introduction 189
15.2 Dynamic Habit Formation Models 189
15.3 Moving Beyond Consumption Based Asset Pricing Models 195
15.4 The Asset Pricing Model with Loss Aversion 198
15.5 Conclusions 202
16 Dynamic Portfolio Choice Models 203
16.1 Introduction 203
16.2 Wealth Accumulation and Portfolio Decisions 203
16.3 Discrete Time Dynamic Portfolio Choice under Log Normality ... 206
16.4 Continuous Time Deterministic Dynamic Portfolio Choice 209
16.5 Continuous Time Stochastic Dynamic Portfolio Choice 215
16.6 Conclusions 222
17 Some Policy Conclusions 223
Bibliography 239
Subject Index 253
|
| adam_txt |
Table of Contents
Introduction 1
I Money, Bonds and Economic Activity
1 Money, Bonds and Interest Rates 9
1.1 Introduction 9
1.2 Some Basics 9
1.3 Macroeconomic Theories of the Interest Rate 10
1.4 Monetary Policy and Interest Rates 13
1.5 Monetary Policy and Asset Prices 14
1.6 Conclusions 15
2 Term Structure of Interest Rates 17
2.1 Introduction 17
2.2 Definitions and Theories 17
2.3 Empirical Tests on the Term Structure 19
2.4 Conclusions 23
II The Credit Market and Economic Activity
3 Theories on Credit Market, Credit Risk and Economic
Activity 27
3.1 Introduction 27
3.2 Perfect Capital Markets: Infinite Horizon and Two Period Models . 27
3.3 Imperfect Capital Markets: Some Basics 35
3.4 Imperfect Capital Markets: Microtheory 37
3.5 Imperfect Capital Markets: Macrotheory 39
3.6 Imperfect Capital Markets: The Micro Macro Link 43
3.7 Conclusions 48
4 Empirical Tests on Credit Market and Economic Activity 49
4.1 Introduction 49
4.2 Bankruptcy Risk and Economic Activity 49
4.3 Liquidity and Economic Activity in a Threshold Model 55
4.4 Estimations of Credit Risk and Sustainable Debt 63
4.5 Conclusions 76
VIII Table of Contents
III The Stock Market and Economic Activity
5 Approaches to Stock Market and Economic Activity 79
5.1 Introduction 79
5.2 The Intertemporal Approach 80
5.3 The Excess Volatility Theory 82
5.4 Heterogeneous Agents Models 84
5.5 The VAR Methodology 85
5.6 Regime Change Models 87
5.7 Conclusions 88
6 Macro Factors and the Stock Market 89
6.1 Introduction 89
6.2 A Dynamic Macro Model 90
6.3 Empirical Results 93
6.4 Conclusions 95
7 New Technology and the Stock Market 97
7.1 Introduction 97
7.2 Some Facts 97
7.3 The Model 99
7.4 Conclusions 102
IV Asset Pricing and Economic Activity
8 Static Portfolio Theory: CAPM and Extensions 105
8.1 Introduction 105
8.2 Portfolio Theory and CAPM: Simple Form 105
8.3 Portfolio Theory and CAPM: Generalizations 110
8.4 Efficient Frontier for an Equity Portfolio 112
8.5 Conclusions 113
9 Consumption Based Asset Pricing Models 115
9.1 Introduction 115
9.2 Present Value Approach 115
9.3 Asset Pricing with a Stochastic Discount Factor 116
9.4 Derivation of some Euler Equations 119
9.5 Consumption, Risky Assets and the Euler Equation 122
9.6 Conclusions 126
Table of Contents IX
10 Asset Pricing Models with Production 129
10.1 Introduction 129
10.2 Stylized Facts 131
10.3 The Baseline RBC Model 131
10.4 Asset Market Restrictions 133
10.5 Conclusions 135
V Foreign Exchange Market, Financial Instability and
Economic Activity
11 Balance Sheets and Financial Instability 139
11.1 Introduction 139
11.2 The Economy Wide Balance Sheets 140
11.3 Households' Holding of Financial Assets 141
11.4 Shocks and Financial Market Reactions 143
11.5 Conclusions 144
12 Exchange Rate Shocks, Financial Crisis and Output Loss 145
12.1 Introduction 145
12.2 Stylized Facts 146
12.3 The Standard Exchange Rate Overshooting Model 147
12.4 Exchange Rate Shocks and Balance Sheets 151
12.5 Exchange Rate Shocks, Balance Sheets and Economic Contraction 153
12.6 Exchange Rate Shocks, Credit Rationing and Economic Contractions 159
12.7 Exchange Rate Shocks, Default Premia and Economic Contractions 163
12.8 Conclusions 167
13 International Portfolio and the Diversification of Risk . 169
13.1 Introduction 169
13.2 Risk from Exchange Rate Volatility 169
13.3 Portfolio Choice and Diversification of Risk 172
13.4 International Bond Portfolio 173
13.5 International Equity Portfolio 175
13.6 Efficient Frontier of an International Portfolio 177
13.7 Conclusions 177
VI Advanced Modeling of Asset Markets
14 Agent Based and Evolutionary Modeling of Asset Markets 181
14.1 Introduction 181
X Table of Contents
14.2 Heterogeneous Agent Models 181
14.3 Evolutionary Models 184
14.4 Conclusions 187
15 Behavioral Models of Dynamic Asset Pricing 189
15.1 Introduction 189
15.2 Dynamic Habit Formation Models 189
15.3 Moving Beyond Consumption Based Asset Pricing Models 195
15.4 The Asset Pricing Model with Loss Aversion 198
15.5 Conclusions 202
16 Dynamic Portfolio Choice Models 203
16.1 Introduction 203
16.2 Wealth Accumulation and Portfolio Decisions 203
16.3 Discrete Time Dynamic Portfolio Choice under Log Normality . 206
16.4 Continuous Time Deterministic Dynamic Portfolio Choice 209
16.5 Continuous Time Stochastic Dynamic Portfolio Choice 215
16.6 Conclusions 222
17 Some Policy Conclusions 223
Bibliography 239
Subject Index 253 |
| any_adam_object | 1 |
| any_adam_object_boolean | 1 |
| author | Semmler, Willi 1942- |
| author_GND | (DE-588)121195775 |
| author_facet | Semmler, Willi 1942- |
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| author_sort | Semmler, Willi 1942- |
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| building | Verbundindex |
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| dewey-hundreds | 600 - Technology (Applied sciences) |
| dewey-ones | 650 - Management and auxiliary services |
| dewey-raw | 650 |
| dewey-search | 650 |
| dewey-sort | 3650 |
| dewey-tens | 650 - Management and auxiliary services |
| discipline | Wirtschaftswissenschaften |
| discipline_str_mv | Wirtschaftswissenschaften |
| edition | 2. ed. |
| format | Book |
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| id | DE-604.BV021649242 |
| illustrated | Illustrated |
| index_date | 2024-07-02T15:02:31Z |
| indexdate | 2024-07-09T20:40:46Z |
| institution | BVB |
| isbn | 3540287841 9783540287841 3540004327 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-014863912 |
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| physical | X, 255 S. graph. Darst. |
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| publisher | Springer |
| record_format | marc |
| spelling | Semmler, Willi 1942- Verfasser (DE-588)121195775 aut Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables Willi Semmler 2. ed. Berlin [u.a.] Springer 2006 X, 255 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Modell (DE-588)4039798-1 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Konjunkturzyklus (DE-588)4032134-4 gnd rswk-swf Realwirtschaft (DE-588)4236488-7 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf Makroökonomische Konsumfunktion (DE-588)4139121-4 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 gnd rswk-swf Kapitalmarkttheorie (DE-588)4137411-3 s Makroökonomische Konsumfunktion (DE-588)4139121-4 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s DE-604 Kreditmarkt (DE-588)4073788-3 s Konjunkturzyklus (DE-588)4032134-4 s Modell (DE-588)4039798-1 s Realwirtschaft (DE-588)4236488-7 s 1\p DE-604 HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014863912&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Semmler, Willi 1942- Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables Modell (DE-588)4039798-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Realwirtschaft (DE-588)4236488-7 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Makroökonomische Konsumfunktion (DE-588)4139121-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| subject_GND | (DE-588)4039798-1 (DE-588)4073788-3 (DE-588)4032134-4 (DE-588)4236488-7 (DE-588)4121078-5 (DE-588)4139121-4 (DE-588)4137411-3 |
| title | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables |
| title_auth | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables |
| title_exact_search | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables |
| title_exact_search_txtP | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables |
| title_full | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables Willi Semmler |
| title_fullStr | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables Willi Semmler |
| title_full_unstemmed | Asset prices, booms and recessions financial economics from a dynamic perspective ; with 27 tables Willi Semmler |
| title_short | Asset prices, booms and recessions |
| title_sort | asset prices booms and recessions financial economics from a dynamic perspective with 27 tables |
| title_sub | financial economics from a dynamic perspective ; with 27 tables |
| topic | Modell (DE-588)4039798-1 gnd Kreditmarkt (DE-588)4073788-3 gnd Konjunkturzyklus (DE-588)4032134-4 gnd Realwirtschaft (DE-588)4236488-7 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd Makroökonomische Konsumfunktion (DE-588)4139121-4 gnd Kapitalmarkttheorie (DE-588)4137411-3 gnd |
| topic_facet | Modell Kreditmarkt Konjunkturzyklus Realwirtschaft Capital-Asset-Pricing-Modell Makroökonomische Konsumfunktion Kapitalmarkttheorie |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=014863912&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT semmlerwilli assetpricesboomsandrecessionsfinancialeconomicsfromadynamicperspectivewith27tables |