Governing global derivatives: challenges and risks
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
Aldershot, England
Ashgate
2008
|
| Series: | Global finance series
|
| Subjects: | |
| Online Access: | Table of contents only Inhaltsverzeichnis |
| Item Description: | Includes bibliographical references (p. [193]-202) and index |
| Physical Description: | XX, 205 S. graph. Darst. 25 cm |
| ISBN: | 9780754674641 0754674649 |
Staff View
MARC
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Record in the Search Index
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| adam_text | Contents
List of Figures and Graphs vii
List of Tables ix
Note on the Author xi
Preface and Acknowledgements xiii
Series Editor Preface xix
List of Abbreviations xxi
The Macroeconomics of Derivatives:
The Issue of Measurement and Accounting 1
1. Introduction 1
2. A brief history of derivatives 2
3. The Bank for International Settlements 10
4. Hedge funds 12
5. National statistics on derivatives 14
6. International statistics on derivatives 16
7. Measurement methods 21
8. The accounting of derivatives in the balance sheet 22
9. The functions of derivatives 27
10. The use of financial innovation by agents 28
11. The risk 36
12. Derivatives hangover 39
13. European financial integration 44
14. The role of the International Monetary Fund 46
15. From the traffic light to the roundabout 49
16. Conclusion 50
Derivatives and Monetary Policy: Global Stability 53
1. Introduction 53
2. Institutional rules 54
3. Financial globalization 57
4. A special class of contract: Credit derivatives 62
5. The subprime crisis of 2007 and the role of derivatives 65
6. Exchange rate management with derivatives 68
7. Monetary analysis of derivatives 72
8. Monetary aggregates and derivatives 76
9. Monetary policy: An expectations management exercise 90
vi Governing Global Derivatives
10. Derivatives in New Keynesian models 95
11. Conclusion 104
3 Derivatives and Fiscal Policy: Risks and Hazard 107
1. Introduction 107
2. Tax timing options with derivatives 108
3. Public finance and moral hazard 111
4. Fiscal policy: An incentives management 115
5. Constraints on fiscal policy 117
6. Sovereign debt crisis and credit derivatives 120
7. Public accounting of derivatives 121
8. Derivatives as a debt management instrument 125
9. Italy: Public debt, federalism and derivatives 143
10. Derivatives: A great opportunity or a jungle? 148
11. Conclusion 149
4 The Theory of Investments and Derivatives:
The Frontier of Economic Analysis 153
1. Introduction 153
2. The theory of investment 154
3. The problem of capital measurement 157
4. Macroeconomic derivatives:
Hedging on future world performance 158
5. Energy and derivatives 161
6. The Tobin s q approach 165
7. Derivatives ? 167
8. Minsky and derivatives 176
9. Conclusion 182
Summary 185
Challenges in Governing Global Derivatives 189
References 193
Index 203
List of Figures and Graphs
Figures
2.1 Hardnosed and wet governments 56
3.1 The modified Blanchard IS-LM model 137
4.1 Flows chart of derivatives effects 154
4.2 The Lip diagram 155
4.3 World total primary energy supply 162
4.4 World electricity consumption 162
4.5 The Tobin and Brainard IS-LM 167
4.6 Isoclines of the Minskian model of accumulation of debt 178
Graphs
1.1 Euro area (13): BOP financial derivatives net position 20
1.2 Weekly exchange rate: Thai Baht—US Dollar (1996-1999) 34
2.1 US and European central bank rates 59
2.2 Case-Shiller home price index 66
2.3 Components of US monetary aggregates 82
2.4 Open interest of EuroDollar and Federal Fund futures 88
2.5 DJX, put and call, and the variation of the underlying
stock index 100
2.6 The variation of the S P500 and the VIX 100
2.7 US inflation rate and Federal Fund effective rate 101
3.1 Italy: Real GDP over total employment 118
3.2 Performance of European countries 139
3.3 CPI index, growth 139
4.1 Gross fixed investments 160
4.2 Crude oil monthly price 163
4.3 GSCI energy total return 164
4.4 Replication q (DJI A, DJX) 172
4.5 Replication q (S P500, VIX) 173
List of Tables
1 Global derivatives market turnover xiv
1.1 Commodity derivatives by instrument and type 4
1.2 World derivatives exchange traded markets 5
1.3a Derivative financial instruments traded on organized exchanges 7
1.3b Derivative financial instruments traded on organized exchanges 8
1.4 Aggregate cross border derivatives claims and liabilities,
and net positions in derivatives for selected foreign countries,
the US and the world 2000-2005 17
1.5a Amounts outstanding of over-the-counter (OTC) derivatives 23
1.5b Amounts outstanding of over-the-counter (OTC) derivatives 24
1.6 Amounts outstanding of OTC single-currency interest rate
derivatives 31
1.7 Derivatives losses 40
2.1 Ratio between Domestic Credit and GDP (Domestic Currency) 63
2.2 Credit default swaps market 64
2.3a Amounts outstanding of OTC foreign exchanges derivatives 70
2.3b Foreign exchange derivatives by instruments counterparty
and currency 71
2.4 US Federal reserve system monetary aggregates 77
2.5 Growth rates of US non-M2 assets of M3 78
2.6 Definitions of euro area monetary aggregates 79
2.7 Monetary policy channels and effects 94
2.8 Phillips Perron unit root test 102
2.9 Taylor rule econometric estimates 103
3.1 Effects of derivatives hedging 115
3.2 US debts and no Ponzi game 116
3.3 Derivatives use by US states 127
3.4 Derivatives use by states 128
3.5 The Gilt market (International inflation-indexed government
bond markets) 141
3.6 Italian regions derivatives activity 146
4.1 Descriptive statistics of DJIA( 1997-2005) 171
4.2 Descriptive statistics of DJX (1997-2005) 171
x Governing Global Derivatives
4.3 Descriptive statistics of Replication q (DJIA, DJX) 173
4.4 Descriptive statistics of S P 500 174
4.5 Descriptive statistics of S P 500 historical volatility 174
4.6 Descriptive statistics of VIX 174
4.7 Descriptive statistics of Replication q (S P 500, VIX) 175
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| id | DE-604.BV036075798 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T22:10:58Z |
| institution | BVB |
| isbn | 9780754674641 0754674649 |
| language | English |
| lccn | 2008022322 |
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| physical | XX, 205 S. graph. Darst. 25 cm |
| publishDate | 2008 |
| publishDateSearch | 2008 |
| publishDateSort | 2008 |
| publisher | Ashgate |
| record_format | marc |
| series2 | Global finance series |
| spelling | Oldani, Chiara Verfasser aut Governing global derivatives challenges and risks Chiara Oldani Aldershot, England Ashgate 2008 XX, 205 S. graph. Darst. 25 cm txt rdacontent n rdamedia nc rdacarrier Global finance series Includes bibliographical references (p. [193]-202) and index Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd rswk-swf Derivat Wertpapier (DE-588)4381572-8 s DE-604 http://www.loc.gov/catdir/toc/ecip0819/2008022322.html Table of contents only HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=018966979&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Oldani, Chiara Governing global derivatives challenges and risks Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| subject_GND | (DE-588)4381572-8 |
| title | Governing global derivatives challenges and risks |
| title_auth | Governing global derivatives challenges and risks |
| title_exact_search | Governing global derivatives challenges and risks |
| title_full | Governing global derivatives challenges and risks Chiara Oldani |
| title_fullStr | Governing global derivatives challenges and risks Chiara Oldani |
| title_full_unstemmed | Governing global derivatives challenges and risks Chiara Oldani |
| title_short | Governing global derivatives |
| title_sort | governing global derivatives challenges and risks |
| title_sub | challenges and risks |
| topic | Derivative securities Derivat Wertpapier (DE-588)4381572-8 gnd |
| topic_facet | Derivative securities Derivat Wertpapier |
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