Empirical essays on monetary and financial economics:
Gespeichert in:
| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2014
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| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | IV, 99 Bl. graph. Darst. |
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Datensatz im Suchindex
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| adam_text | INAUGURALDISSERTATION
ZUN
ERLANGUNG
DES
DOKTORS DER.
WIRTSCHAFTSWISSENSCHAFT
(DR. RER. POL.) AN DER
UNIVERSITAT
REGENSBURG
EMPIRICAL ESSAYS ON MONETARY AND
FINANCIAL ECONOMICS
GUTACLITER:
- PROF. DR. ENZO
WEBER -
INSTIR.NT
FIIR EMPIRISCHO VVIRTSDIAFTSFORSCHMIG
UNIVERSITAT REGENSBURG
UND
-PROF. DR. JURGEN
WOLTERS-
INSTITUT FIIR ST.ATISTIK UND OKONOINCTRIC
FREIE UNIVERSITAT BERLIN
VORGELCGT VON
DIPL.-VW.. M.EC. PHILIPP
MATROS
REGENSBURG. MARZ 2014
HTTP://D-NB.INFO/1057887722
CONTENTS
1 GENERAL INTRODUCTION 1
2 NON-STATIONARY INTEREST RATE DIFFERENTIALS AND THE ROLE OF MONETARY
POLICY 4
2.1 INTRODUCTION 5
2.2 THEORETICAL BACKGROUND C
2.3 EMPIRICAL RESULTS 10
2.3.1 DATA 10
2.3.2 UNIT ROOT TEST 13
2.3.3 COINTEGRATION ANALYSIS 14
2.3.4 VECTOR ERROR CORRECTION ANALYSIS 15
2.4 CONCLUSION 18
3 MEASURING OPTION IMPLIED DEGREE OF DISTRESS IN THE US FINANCIAL SECTOR
USING
THE ENTROPY PRINCIPLE 19
3.1 INTRODUCTION , . 20
3.2 METHODOLOGY 23
3.3 DATA 27
3.4 EMPIRICAL IMPLEMENTATION 29
3.5 RESULTS 32
3.5.1 TIME SERIES OF OPTION IPODS 33
3.5.2 SYSTEMIC RISK MEASURE . 37
3.5.3 RELATIVE RISK ANALYSIS 39
3.6 CONCLUSION 43
3. A APPENDIX 45
4 THE MULTIVARIATE OPTION IPOD FRAMEWORK - ASSESSING SYSTEMIC FINANCIAL
RISK 53
4.1 INTRODUCTION 54
4.2 METHODOLOGY 5G
4.3 DATA 65
4.4 EMPIRICAL IMPLEMENTATION 66
4.5 RESULTS 68
4.5.1 SYSTEMIC DISTRESS INDICATORS 68
III
4.5.2 STATIC ANALYSIS 70
4.5.3 DYNAMIC ANALYSIS 74
4.6 CONCLUSION 79
4.A APPENDIX 81
BIBILIOGRAPHY 95
LIST OF FIGURES 96
LIST OF TABLES 98
IV
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| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spellingShingle | Matros, Philipp Empirical essays on monetary and financial economics Zinsparität (DE-588)4190930-6 gnd Geldpolitik (DE-588)4019902-2 gnd Risikoanalyse (DE-588)4137042-9 gnd Wechselkursänderung (DE-588)4129405-1 gnd Ausfallrisiko (DE-588)4205942-2 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Stabilität (DE-588)4056693-6 gnd |
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| title | Empirical essays on monetary and financial economics |
| title_auth | Empirical essays on monetary and financial economics |
| title_exact_search | Empirical essays on monetary and financial economics |
| title_full | Empirical essays on monetary and financial economics von Phillipp Matros |
| title_fullStr | Empirical essays on monetary and financial economics von Phillipp Matros |
| title_full_unstemmed | Empirical essays on monetary and financial economics von Phillipp Matros |
| title_short | Empirical essays on monetary and financial economics |
| title_sort | empirical essays on monetary and financial economics |
| topic | Zinsparität (DE-588)4190930-6 gnd Geldpolitik (DE-588)4019902-2 gnd Risikoanalyse (DE-588)4137042-9 gnd Wechselkursänderung (DE-588)4129405-1 gnd Ausfallrisiko (DE-588)4205942-2 gnd Finanzwirtschaft (DE-588)4017214-4 gnd Stabilität (DE-588)4056693-6 gnd |
| topic_facet | Zinsparität Geldpolitik Risikoanalyse Wechselkursänderung Ausfallrisiko Finanzwirtschaft Stabilität Hochschulschrift |
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