Financial Volatility and Real Economic Activity:
Saved in:
| Main Author: | |
|---|---|
| Format: | Book |
| Language: | English |
| Published: |
London
Routledge
2018
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XI, 145 Seiten Diagramme |
| ISBN: | 9781138315075 |
Staff View
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| adam_text | Contents List of Figures.......................................................................................................... viii List of Tables............................................................................................................... ix Acknowledgements....................................................................................................x Abstract..................................................................... ................................................xi 1 Introduction..........................................................................................................1 Overview................................................................................................................ 1 Structure of Book..................................................................................................2 The Background to the Research Question........................................................ 4 Methods and Motives............................................... 5 Contributions and Major Findings......................................................................7 2 Volatility: Issues and Measuring Techniques..............................................10 introduction........................................................................ 10 What is Volatility?.............................................................................................. 11 What Influences Volatility?............................................................................... 12 Determinants of Volatility
Changes.................................................................. 12 Long-term and Short-term Factors Influencing Volatility..............................13 Statistical Measures............................................................................................. 14 Modeling Volatility.............................................................................................15 ARCH Models.....................................................................................................16 The Linear ARCH(p) Model..............................................................................18 GARCH........ ......................................................................................................19 EGARCH............................................................................................................ 21 The Taylor - Schwert Model............................................................................. 22 ARCH-M............................................................................................................. 23 MARCH...............................................................................................................24 Multivariate ARCH Models.............................................................................. 24 v
Sources of ARCH.............................................................................................. 25 Comparing Alternative Volatility Models....................................................... 26 Forecasting Volatility........................................................................................28 The Black-Scholes Model.................................................................................28 Computing Historical Volatility....................................................................... 29 Estimating Volatility in Practice...................................................................... 31 Summary and Conclusions................................................................................32 3 Financial Volatility and Real Economic Activity........................................34 Introduction........................................................................................................34 Stock Market Volatility..................................................................................... 35 Fundamentals and Stock Market Prices...........................................................36 Speculative Bubbles and Noise........................................................................ 38 Financial Instability and Macroeconomic Activity.........................................39 Financial Volatility and Financial Liberalization in Developing Countries............................................................................................................ 42 Monetary
Volatility........................................................................................... 44 Theoretical Considerations................................................................................45 Exogenous Versus Endogenous Money...........................................................46 Monetary Policy in Australia: Empirical Evidence........................................ 48 Policy and Financial Asset Price Volatility..................................................... 49 Summary and Conclusions...................................................... 49 4 The Causes of Stock Market Volatility in Australia.................................. 51 Introduction........................................................................................................ 51 Theory, Methodology and Data....................................................................... 52 Modeling the Conditional Volatility of the Australian Stock Market........... 55 Summary and Conclusions................................................................................65 5 Monetary Volatility and Real Output Volatility: An Empirical Model of the Transmission Mechanism, Australia, Jan 1972 - Jan 1994................66 Introduction........................................................................................................ 66 Data and Measurement of Conditional Volatility...........................................68 Model Estimates and Results.................................. 73 Version 1 : Modeling the Transmission of Monetary Volatility Through the Markowitz Efficient
Portfolio of Financial Assets..........................................73 Version 2: The Transmission Mechanism Through Individual Financial Assets..................................................................................................................80 Summary and Conclusion................................................................................. 84 6 Fiscal Financing Decisions and Exchange Rate Variability: A Multi country Empirical Analysis............................................................................ 86 Introduction........................................................................................................ 86 vi
The Theory......................................................................................... 87 Models Based upon ‘Postulated’ Behavioural Relationships........................88 Models Based on Optimising Behaviour...................................................... 88 Econometric Analysis................................................................................... 91 The Estimated VAR Models......................................................................... 94 The Impulse Response Functions.................................................................. 98 Summary and Conclusions...........................................................................102 7 The Effects of Exchange Rate Volatility onthe Volume of Japan’s Bi-lateral Trade..........................................................................................107 Introduction..................................................................................................107 Theoretical Framework................................................................................109 Exchange Rate Volatility and the Volume of Exports................................ 110 The Effects of Exchange Rate Volatility on Trade..................................... Ill Empirical Results......................................................................................... 112 Summary and Conclusions...........................................................................117 8 Summary, Conclusions, Policy Implications andFurther Studies.......119
Introduction.................................................................................................. 119 General Review of the Study.......................................................................119 What Factors Influence Financial Volatility and Real Economic Activity?.......................................................................................................120 Policy Implications......................................................................................121 Further Studies............................................................................................. 123 Endnotes........................................................................................................... 124 Bibliography..................................................................................................... 128 vii
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| spelling | Daly, Kevin James Verfasser (DE-588)171779339 aut Financial Volatility and Real Economic Activity London Routledge 2018 © 1999 XI, 145 Seiten Diagramme txt rdacontent n rdamedia nc rdacarrier Wirtschaftsentwicklung (DE-588)4066438-7 gnd rswk-swf Kreditmarkt (DE-588)4073788-3 gnd rswk-swf Volatilität (DE-588)4268390-7 gnd rswk-swf Australien (DE-588)4003900-6 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Australien (DE-588)4003900-6 g Kreditmarkt (DE-588)4073788-3 s Volatilität (DE-588)4268390-7 s Wirtschaftsentwicklung (DE-588)4066438-7 s DE-604 Äquivalent Daly, Kevin James Financial Volatility and Real Economic Activity 1999 1-84014-873-X (DE-604)BV012551573 Erscheint auch als Onlineausgabe 978-0-429-45657-2 Digitalisierung UB Bamberg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=030647100&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Daly, Kevin James Financial Volatility and Real Economic Activity Wirtschaftsentwicklung (DE-588)4066438-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd |
| subject_GND | (DE-588)4066438-7 (DE-588)4073788-3 (DE-588)4268390-7 (DE-588)4003900-6 (DE-588)4113937-9 |
| title | Financial Volatility and Real Economic Activity |
| title_auth | Financial Volatility and Real Economic Activity |
| title_exact_search | Financial Volatility and Real Economic Activity |
| title_full | Financial Volatility and Real Economic Activity |
| title_fullStr | Financial Volatility and Real Economic Activity |
| title_full_unstemmed | Financial Volatility and Real Economic Activity |
| title_short | Financial Volatility and Real Economic Activity |
| title_sort | financial volatility and real economic activity |
| topic | Wirtschaftsentwicklung (DE-588)4066438-7 gnd Kreditmarkt (DE-588)4073788-3 gnd Volatilität (DE-588)4268390-7 gnd |
| topic_facet | Wirtschaftsentwicklung Kreditmarkt Volatilität Australien Hochschulschrift |
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