Economic uncertainty, instabilities and asset bubbles :: selected essays /
The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles. Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including...
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| Format: | Elektronisch E-Book |
| Sprache: | English |
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Singapore ; Hackensack, NJ ; London :
World Scientific Pub.,
©2005.
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| Online-Zugang: | Volltext |
| Zusammenfassung: | The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles. Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness. The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets. Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy. Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis. |
| Beschreibung: | 1 online resource (xxvii, 343 pages) : illustrations |
| Bibliographie: | Includes bibliographical references. |
| ISBN: | 9789812701015 981270101X 128188118X 9781281881182 |
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| 245 | 1 | 0 | |a Economic uncertainty, instabilities and asset bubbles : |b selected essays / |c [A.G. Malliaris]. |
| 260 | |a Singapore ; |a Hackensack, NJ ; |a London : |b World Scientific Pub., |c ©2005. | ||
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| 504 | |a Includes bibliographical references. | ||
| 505 | 0 | 0 | |t Economic Uncertainty: An Overview |g xiii -- |t Economic Growth and Uncertainty |g 1 -- |g 1 |t Asymptotic Growth under Uncertainty: Existence and Uniqueness / |r Fwu-Ranq Chang, A.G. Malliaris |g 3 -- |g 2 |t How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests / |r A.G. Malliaris, Jorge L. Urrutia |g 9 -- |g 3 |t An Empirical Investigation Among Real, Monetary and Financial Variables / |r A.G. Malliaris, Jorge L. Urrutia |g 13 -- |t Stochastic Macroeconomic Models |g 21 -- |g 4 |t Interest Rates and Inflation: A Continuous-time Stochastic Approach / |r A.G. Malliaris, M.E. Malliaris |g 23 -- |g 5 |t Decomposition of Inflation and Its Volatility: A Stochastic Approach / |r A.G. Malliaris, M.E. Malliaris |g 29 -- |g 6 |t Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 / |r A.G. Malliaris |g 41 -- |g 7 |t Money, Inflation and Interest Rates: Illustrations from Twelve European Economies / |r A.G. Malliaris, Silvana Stefani |g 59 -- |t Randomness in Asset Markets |g 83 -- |g 8 |t Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics / |r A.G. Malliaris, Jerome L. Stein |g 85 -- |g 9 |t Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions / |r George C. Philippatos, Efi Pilarinu, A.G. Malliaris |g 117 -- |g 10 |t European Stock Market Fluctuations: Short and Long Term Links / |r A.G. Malliaris, Jorge L. Urrutia |g 137 -- |g 11 |t Multi-Fractality in Foreign Currency Markets / |r Marco Corazza, A.G. Malliaris |g 151 -- |t Asset Bubbles |g 185 -- |g 12 |t Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test / |r Ramaprasad Bhar, A.G. Malliaris |g 187 -- |g 13 |t Is the Federal Reserve Stock Market Bubble-Neutral? / |r Marc D. Hayford, A.G. Malliaris |g 207 -- |g 14 |t How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule / |r Marc D. Hayford, A.G. Malliaris |g 223 -- |g 15 |t Monetary Policy and the U.S. Stock Market / |r Marc D. Hayford, A.G. Malliaris |g 233 -- |t Crashes and Instabilities |g 249 -- |g 16 |t The International Crash of October 1987: Causality Tests / |r A.G. Malliaris, Jorge L. Urrutia |g 251 -- |g 17 |t The Impact of the Persian Gulf Crisis on National Equity Markets / |r A.G. Malliaris, Jorge L. Urrutia |g 263 -- |g 18 |t Oil and World Stock Markets' Reactions to the Gulf Crisis / |r A.G. Malliaris, Jorge L. Urrutia |g 287 -- |g 19 |t Equity and Oil Markets Under External Shocks / |r Jorge L. Urrutia, A.G. Malliaris |g 309 -- |g 20 |t Global Monetary Instability: The Role of the IMF, the EU and NAFTA / |r A.G. Malliaris |g 323. |
| 588 | 0 | |a Print version record. | |
| 520 | |a The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles. Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness. The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets. Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy. Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis. | ||
| 650 | 0 | |a Business cycles. | |
| 650 | 0 | |a Financial crises. | |
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| 650 | 7 | |a BUSINESS & ECONOMICS |x Economics |x Microeconomics. |2 bisacsh | |
| 650 | 7 | |a Business cycles |2 fast | |
| 650 | 7 | |a Financial crises |2 fast | |
| 776 | 0 | 8 | |i Print version: |a Malliaris, A.G. |t Economic uncertainty, instabilities and asset bubbles. |d Singapore ; Hackensack, NJ ; London : World Scientific Pub., ©2005 |z 9812563784 |w (DLC) 2005049432 |w (OCoLC)60742142 |
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Datensatz im Suchindex
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| author | Malliaris, A. G. |
| author_additional | Fwu-Ranq Chang, A.G. Malliaris A.G. Malliaris, Jorge L. Urrutia A.G. Malliaris, M.E. Malliaris A.G. Malliaris A.G. Malliaris, Silvana Stefani A.G. Malliaris, Jerome L. Stein George C. Philippatos, Efi Pilarinu, A.G. Malliaris Marco Corazza, A.G. Malliaris Ramaprasad Bhar, A.G. Malliaris Marc D. Hayford, A.G. Malliaris Jorge L. Urrutia, A.G. Malliaris |
| author_facet | Malliaris, A. G. |
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| contents | Economic Uncertainty: An Overview Economic Growth and Uncertainty Asymptotic Growth under Uncertainty: Existence and Uniqueness / How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests / An Empirical Investigation Among Real, Monetary and Financial Variables / Stochastic Macroeconomic Models Interest Rates and Inflation: A Continuous-time Stochastic Approach / Decomposition of Inflation and Its Volatility: A Stochastic Approach / Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 / Money, Inflation and Interest Rates: Illustrations from Twelve European Economies / Randomness in Asset Markets Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics / Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions / European Stock Market Fluctuations: Short and Long Term Links / Multi-Fractality in Foreign Currency Markets / Asset Bubbles Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test / Is the Federal Reserve Stock Market Bubble-Neutral? / How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule / Monetary Policy and the U.S. Stock Market / Crashes and Instabilities The International Crash of October 1987: Causality Tests / The Impact of the Persian Gulf Crisis on National Equity Markets / Oil and World Stock Markets' Reactions to the Gulf Crisis / Equity and Oil Markets Under External Shocks / Global Monetary Instability: The Role of the IMF, the EU and NAFTA / |
| ctrlnum | (OCoLC)834129318 |
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| dewey-ones | 338 - Production |
| dewey-raw | 338.5/42 |
| dewey-search | 338.5/42 |
| dewey-sort | 3338.5 242 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Electronic eBook |
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Malliaris, M.E. Malliaris</subfield><subfield code="g">29 --</subfield><subfield code="g">6</subfield><subfield code="t">Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 /</subfield><subfield code="r">A.G. Malliaris</subfield><subfield code="g">41 --</subfield><subfield code="g">7</subfield><subfield code="t">Money, Inflation and Interest Rates: Illustrations from Twelve European Economies /</subfield><subfield code="r">A.G. Malliaris, Silvana Stefani</subfield><subfield code="g">59 --</subfield><subfield code="t">Randomness in Asset Markets</subfield><subfield code="g">83 --</subfield><subfield code="g">8</subfield><subfield code="t">Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics /</subfield><subfield code="r">A.G. Malliaris, Jerome L. Stein</subfield><subfield code="g">85 --</subfield><subfield code="g">9</subfield><subfield code="t">Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions /</subfield><subfield code="r">George C. Philippatos, Efi Pilarinu, A.G. Malliaris</subfield><subfield code="g">117 --</subfield><subfield code="g">10</subfield><subfield code="t">European Stock Market Fluctuations: Short and Long Term Links /</subfield><subfield code="r">A.G. Malliaris, Jorge L. Urrutia</subfield><subfield code="g">137 --</subfield><subfield code="g">11</subfield><subfield code="t">Multi-Fractality in Foreign Currency Markets /</subfield><subfield code="r">Marco Corazza, A.G. Malliaris</subfield><subfield code="g">151 --</subfield><subfield code="t">Asset Bubbles</subfield><subfield code="g">185 --</subfield><subfield code="g">12</subfield><subfield code="t">Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test /</subfield><subfield code="r">Ramaprasad Bhar, A.G. Malliaris</subfield><subfield code="g">187 --</subfield><subfield code="g">13</subfield><subfield code="t">Is the Federal Reserve Stock Market Bubble-Neutral? /</subfield><subfield code="r">Marc D. Hayford, A.G. Malliaris</subfield><subfield code="g">207 --</subfield><subfield code="g">14</subfield><subfield code="t">How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule /</subfield><subfield code="r">Marc D. Hayford, A.G. Malliaris</subfield><subfield code="g">223 --</subfield><subfield code="g">15</subfield><subfield code="t">Monetary Policy and the U.S. Stock Market /</subfield><subfield code="r">Marc D. Hayford, A.G. Malliaris</subfield><subfield code="g">233 --</subfield><subfield code="t">Crashes and Instabilities</subfield><subfield code="g">249 --</subfield><subfield code="g">16</subfield><subfield code="t">The International Crash of October 1987: Causality Tests /</subfield><subfield code="r">A.G. Malliaris, Jorge L. Urrutia</subfield><subfield code="g">251 --</subfield><subfield code="g">17</subfield><subfield code="t">The Impact of the Persian Gulf Crisis on National Equity Markets /</subfield><subfield code="r">A.G. Malliaris, Jorge L. Urrutia</subfield><subfield code="g">263 --</subfield><subfield code="g">18</subfield><subfield code="t">Oil and World Stock Markets' Reactions to the Gulf Crisis /</subfield><subfield code="r">A.G. Malliaris, Jorge L. Urrutia</subfield><subfield code="g">287 --</subfield><subfield code="g">19</subfield><subfield code="t">Equity and Oil Markets Under External Shocks /</subfield><subfield code="r">Jorge L. Urrutia, A.G. Malliaris</subfield><subfield code="g">309 --</subfield><subfield code="g">20</subfield><subfield code="t">Global Monetary Instability: The Role of the IMF, the EU and NAFTA /</subfield><subfield code="r">A.G. Malliaris</subfield><subfield code="g">323.</subfield></datafield><datafield tag="588" ind1="0" ind2=" "><subfield code="a">Print version record.</subfield></datafield><datafield tag="520" ind1=" " ind2=" "><subfield code="a">The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles. Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness. The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets. Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy. 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| id | ZDB-4-EBU-ocn834129318 |
| illustrated | Illustrated |
| indexdate | 2024-11-26T14:49:09Z |
| institution | BVB |
| isbn | 9789812701015 981270101X 128188118X 9781281881182 |
| language | English |
| oclc_num | 834129318 |
| open_access_boolean | |
| owner | MAIN DE-863 DE-BY-FWS |
| owner_facet | MAIN DE-863 DE-BY-FWS |
| physical | 1 online resource (xxvii, 343 pages) : illustrations |
| psigel | ZDB-4-EBU |
| publishDate | 2005 |
| publishDateSearch | 2005 |
| publishDateSort | 2005 |
| publisher | World Scientific Pub., |
| record_format | marc |
| spelling | Malliaris, A. G. Economic uncertainty, instabilities and asset bubbles : selected essays / [A.G. Malliaris]. Singapore ; Hackensack, NJ ; London : World Scientific Pub., ©2005. 1 online resource (xxvii, 343 pages) : illustrations text txt rdacontent computer c rdamedia online resource cr rdacarrier Includes bibliographical references. Economic Uncertainty: An Overview xiii -- Economic Growth and Uncertainty 1 -- 1 Asymptotic Growth under Uncertainty: Existence and Uniqueness / Fwu-Ranq Chang, A.G. Malliaris 3 -- 2 How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests / A.G. Malliaris, Jorge L. Urrutia 9 -- 3 An Empirical Investigation Among Real, Monetary and Financial Variables / A.G. Malliaris, Jorge L. Urrutia 13 -- Stochastic Macroeconomic Models 21 -- 4 Interest Rates and Inflation: A Continuous-time Stochastic Approach / A.G. Malliaris, M.E. Malliaris 23 -- 5 Decomposition of Inflation and Its Volatility: A Stochastic Approach / A.G. Malliaris, M.E. Malliaris 29 -- 6 Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 / A.G. Malliaris 41 -- 7 Money, Inflation and Interest Rates: Illustrations from Twelve European Economies / A.G. Malliaris, Silvana Stefani 59 -- Randomness in Asset Markets 83 -- 8 Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics / A.G. Malliaris, Jerome L. Stein 85 -- 9 Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions / George C. Philippatos, Efi Pilarinu, A.G. Malliaris 117 -- 10 European Stock Market Fluctuations: Short and Long Term Links / A.G. Malliaris, Jorge L. Urrutia 137 -- 11 Multi-Fractality in Foreign Currency Markets / Marco Corazza, A.G. Malliaris 151 -- Asset Bubbles 185 -- 12 Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test / Ramaprasad Bhar, A.G. Malliaris 187 -- 13 Is the Federal Reserve Stock Market Bubble-Neutral? / Marc D. Hayford, A.G. Malliaris 207 -- 14 How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule / Marc D. Hayford, A.G. Malliaris 223 -- 15 Monetary Policy and the U.S. Stock Market / Marc D. Hayford, A.G. Malliaris 233 -- Crashes and Instabilities 249 -- 16 The International Crash of October 1987: Causality Tests / A.G. Malliaris, Jorge L. Urrutia 251 -- 17 The Impact of the Persian Gulf Crisis on National Equity Markets / A.G. Malliaris, Jorge L. Urrutia 263 -- 18 Oil and World Stock Markets' Reactions to the Gulf Crisis / A.G. Malliaris, Jorge L. Urrutia 287 -- 19 Equity and Oil Markets Under External Shocks / Jorge L. Urrutia, A.G. Malliaris 309 -- 20 Global Monetary Instability: The Role of the IMF, the EU and NAFTA / A.G. Malliaris 323. Print version record. The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles. Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness. The reader is also introduced to the methods of chaotic dynamics, and this methodology is applied to asset pricing, the European equity markets, and the multi-fractality in foreign currency markets. Since the techniques of stochastic calculus and chaotic dynamics do not readily accommodate the presence of stochastic bubbles, several papers discuss in depth the presence of financial bubbles in asset prices, and econometric work is performed to link such bubbles to monetary policy. Finally, since bubbles often burst rather than deflate slowly, the last section of the book studies the crash of October 1987 as well as other crashes of national equity markets due to the Persian gulf crisis. Business cycles. Financial crises. Cycles économiques. BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Business cycles fast Financial crises fast Print version: Malliaris, A.G. Economic uncertainty, instabilities and asset bubbles. Singapore ; Hackensack, NJ ; London : World Scientific Pub., ©2005 9812563784 (DLC) 2005049432 (OCoLC)60742142 FWS01 ZDB-4-EBU FWS_PDA_EBU https://search.ebscohost.com/login.aspx?direct=true&scope=site&db=nlebk&AN=514766 Volltext |
| spellingShingle | Malliaris, A. G. Economic uncertainty, instabilities and asset bubbles : selected essays / Economic Uncertainty: An Overview Economic Growth and Uncertainty Asymptotic Growth under Uncertainty: Existence and Uniqueness / How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests / An Empirical Investigation Among Real, Monetary and Financial Variables / Stochastic Macroeconomic Models Interest Rates and Inflation: A Continuous-time Stochastic Approach / Decomposition of Inflation and Its Volatility: A Stochastic Approach / Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 / Money, Inflation and Interest Rates: Illustrations from Twelve European Economies / Randomness in Asset Markets Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics / Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions / European Stock Market Fluctuations: Short and Long Term Links / Multi-Fractality in Foreign Currency Markets / Asset Bubbles Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test / Is the Federal Reserve Stock Market Bubble-Neutral? / How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule / Monetary Policy and the U.S. Stock Market / Crashes and Instabilities The International Crash of October 1987: Causality Tests / The Impact of the Persian Gulf Crisis on National Equity Markets / Oil and World Stock Markets' Reactions to the Gulf Crisis / Equity and Oil Markets Under External Shocks / Global Monetary Instability: The Role of the IMF, the EU and NAFTA / Business cycles. Financial crises. Cycles économiques. BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Business cycles fast Financial crises fast |
| title | Economic uncertainty, instabilities and asset bubbles : selected essays / |
| title_alt | Economic Uncertainty: An Overview Economic Growth and Uncertainty Asymptotic Growth under Uncertainty: Existence and Uniqueness / How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests / An Empirical Investigation Among Real, Monetary and Financial Variables / Stochastic Macroeconomic Models Interest Rates and Inflation: A Continuous-time Stochastic Approach / Decomposition of Inflation and Its Volatility: A Stochastic Approach / Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975 / Money, Inflation and Interest Rates: Illustrations from Twelve European Economies / Randomness in Asset Markets Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics / Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions / European Stock Market Fluctuations: Short and Long Term Links / Multi-Fractality in Foreign Currency Markets / Asset Bubbles Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test / Is the Federal Reserve Stock Market Bubble-Neutral? / How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule / Monetary Policy and the U.S. Stock Market / Crashes and Instabilities The International Crash of October 1987: Causality Tests / The Impact of the Persian Gulf Crisis on National Equity Markets / Oil and World Stock Markets' Reactions to the Gulf Crisis / Equity and Oil Markets Under External Shocks / Global Monetary Instability: The Role of the IMF, the EU and NAFTA / |
| title_auth | Economic uncertainty, instabilities and asset bubbles : selected essays / |
| title_exact_search | Economic uncertainty, instabilities and asset bubbles : selected essays / |
| title_full | Economic uncertainty, instabilities and asset bubbles : selected essays / [A.G. Malliaris]. |
| title_fullStr | Economic uncertainty, instabilities and asset bubbles : selected essays / [A.G. Malliaris]. |
| title_full_unstemmed | Economic uncertainty, instabilities and asset bubbles : selected essays / [A.G. Malliaris]. |
| title_short | Economic uncertainty, instabilities and asset bubbles : |
| title_sort | economic uncertainty instabilities and asset bubbles selected essays |
| title_sub | selected essays / |
| topic | Business cycles. Financial crises. Cycles économiques. BUSINESS & ECONOMICS Economics Microeconomics. bisacsh Business cycles fast Financial crises fast |
| topic_facet | Business cycles. Financial crises. Cycles économiques. BUSINESS & ECONOMICS Economics Microeconomics. Business cycles Financial crises |
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