Financial Markets and the Global Recession.
Naas, Benjamin Naas.
Financial Markets and the Global Recession. - 1st ed. - 1 online resource (278 pages) - Global Recession - Causes, Impacts and Remedies . - Global Recession - Causes, Impacts and Remedies .
Intro -- FINANCIAL MARKETS AND THE GLOBAL RECESSION -- FINANCIAL MARKETS AND THE GLOBAL RECESSION -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- PREFACE -- Chapter 1 GLOBAL RECESSION: JUST A GLITCH OR IS IT HERE TO STAY? -- Abstract -- Introduction -- The Current Economic Crisis -- The "Mechanics" of the Recession -- Lessons from History Learned: The Great Depression of 1929 -- A Simple Model of the Global Economy -- Forecasting the Global Economy -- Globalization: A Two Century Growth Wave -- Globalization from 1917-1995: Past Seasons of Global Growth -- Globalization from 1995-2112: Current Status and Future Prospects of Global Growth -- Cyclic Patterns in Global Economy -- The Emergence of International Powers in a World of Continuous Growth -- Key Findings about the Recent Economic Recession -- The Double Nature of the Current Recession -- A Simple "Rule of Thumb" -- The Changing Balance of International Powers -- The Systematic Nature of the Current Recession -- The Right Strategy for the Recession -- Conclusion -- References -- Chapter 2THE IMPACTS OF GLOBAL RECESSION ON THEWORLD ECONOMY: AN INVESTIGATION WITHA MULTI-COUNTRY OVERLAPPINGGENERATIONS SIMULATION MODEL -- Abstract -- 1. Introduction -- 2. The Model Structure -- 1.) Household Behavior -- 2.) Firm Behavior -- 3.) The Government -- 4.) Public Pension -- 5.) World Equilibrium -- 3. The Impacts of Global Population Aging -- 1.) Baseline Simulation -- 2.) Alternative Scenarios -- 3.) Public Pension Reform -- 4.) Fiscal Consolidation -- 4. The Impacts of Global Fiscal Expansion -- Conclusion -- References -- Chapter 3 WHEN RISK WEIGHTS INCREASE THE RISK: SOME CONCERNS FOR CAPITAL REGULATION -- Abstract -- I. Introduction -- II. Portfolio Theory -- II.1. Correlations: the Shape of the Efficient Frontier -- II.2. Investor Preferences. II.3. Choosing the Optimal Portfolio -- III. Optimal Investments without Borrowing and Other Restrictions -- III.1. Introducing Risk Weights -- III.1.1. Optimisation Including Zero-Risk Asset -- III.1.2. Optimisation without Zero-Risk Asset -- IV. Some Implications -- IV.1. The Application of the Model to Credit Risk Related Portfolios -- IV.2. Regulation -- IV.3. Policy Issues -- Conclusion -- Appendix. A Formal Analysis of the Change in the Optimal Investment -- References -- Chapter 4THE ROLE OF FOREIGN MONETARYAUTHORITIES IN THE GLOBAL ECONOMICCRISIS IN TERMS OF REDUCING PRESSUREFROM DECLINING U.S. HOUSE PRICES -- Abstract -- 1. Introduction -- 1.1. The Fall in U.S. House Prices and the Unwinding of the U.S.Current Account -- 1.2. Policy Responses to the Crisis -- 1.3. The Risk of Re-Expanding the U.S. Current Account Deficit -- 2. Methodology -- 2.1. Model -- 2.2. SVAR Model -- 3. Estimated Results -- 3.1. Impulse Response -- 3.2. Variance Decompositions -- 3.3. Robustness Check -- 4. Impacts of the Fall in U.S. House Pricesand the Various Policies -- Conclusion -- Acknowledgments -- Data Appendix -- References -- Chapter5VOLATILITYMODELS:FROMGARCHTOMULTI-HORIZONCASCADES -- Abstract -- 1.Introduction -- 2.EmpiricalPropertiesofVolatility -- 3.ARCH/GARCHFamilyofVolatilityModelsandEx-tensions -- 4.StochasticVolatilityModels -- 5.AggregationofReturnsinTime -- 6.TheHypothesisofMultipleHorizonsinVolatility -- 7.ModelingMultipleHorizonsinVolatilityandEcono-physicsApproach -- 8.Conclusion -- References -- Chapter6LEADERMARKETINDEXES -- Abstract -- 1.Introduction -- 2.LeaderMarketIndexes -- 3.Dataset -- 3.1.UnitedStates -- 3.2.Asia& -- Oceania -- 3.3.Europe -- 4.Results -- 4.1.DescriptiveStatistics -- 4.2.UnitRootTests -- 4.3.GrangerCausality -- 4.3.1.LagLenghtSelectionCriteria -- 4.3.2.VectorAutoregressiveModel(VAR) -- 4.3.3.Forecasting. 4.3.4.GrangercausalityWaldTest -- 4.4.JohansenMultivariateCointegrationTests -- 5.Considerations -- 5.1.ImplicationsforPortfolioAllocation -- 5.2.LeaderMarketIndexesandEfficientMarketHypothesis -- 6.Conclusion -- Appendix1.Causality -- Appendix2.Multi-variateGrangerCausalityTest -- Appendix3.StationarityandAugmentedDickey-FullerTest -- References -- Chapter7THECONTINUOUS-TIMEDYNAMICSOFVIXAMIDTHERECENTMARKETTURMOIL -- Abstract -- I.Introduction -- II.DataDescription -- III.MaximumLikelihoodEstimationofVolatilityIn-dices -- IV.ParametricSpecificationTestsofVolatilityModels -- V.Conclusion -- References -- ExpertCommentaryAPREDICTINGSTOCKRETURNSINACROSS-SECTION:DOINDIVIDUALFIRMCHARACTERISTICSMATTER? -- Abstract -- 1.Introduction -- 2.PricingAnomaliesand"BetasvsCharacteristics"Debate -- 3.Data -- 4.FormalDescriptionoftheMethodology -- 5.DiscussionoftheResults -- 6.Conclusion -- References -- Expert Commentary B ON THE FUTURE OF CAPITAL ASSET PRICING MODELS -- INDEX.
9781617619687
International finance.
Capital market.
Recessions.
Electronic books.
HG3881 -- .F524 2010eb
332/.042
Financial Markets and the Global Recession. - 1st ed. - 1 online resource (278 pages) - Global Recession - Causes, Impacts and Remedies . - Global Recession - Causes, Impacts and Remedies .
Intro -- FINANCIAL MARKETS AND THE GLOBAL RECESSION -- FINANCIAL MARKETS AND THE GLOBAL RECESSION -- LIBRARY OF CONGRESS CATALOGING-IN-PUBLICATION DATA -- CONTENTS -- PREFACE -- Chapter 1 GLOBAL RECESSION: JUST A GLITCH OR IS IT HERE TO STAY? -- Abstract -- Introduction -- The Current Economic Crisis -- The "Mechanics" of the Recession -- Lessons from History Learned: The Great Depression of 1929 -- A Simple Model of the Global Economy -- Forecasting the Global Economy -- Globalization: A Two Century Growth Wave -- Globalization from 1917-1995: Past Seasons of Global Growth -- Globalization from 1995-2112: Current Status and Future Prospects of Global Growth -- Cyclic Patterns in Global Economy -- The Emergence of International Powers in a World of Continuous Growth -- Key Findings about the Recent Economic Recession -- The Double Nature of the Current Recession -- A Simple "Rule of Thumb" -- The Changing Balance of International Powers -- The Systematic Nature of the Current Recession -- The Right Strategy for the Recession -- Conclusion -- References -- Chapter 2THE IMPACTS OF GLOBAL RECESSION ON THEWORLD ECONOMY: AN INVESTIGATION WITHA MULTI-COUNTRY OVERLAPPINGGENERATIONS SIMULATION MODEL -- Abstract -- 1. Introduction -- 2. The Model Structure -- 1.) Household Behavior -- 2.) Firm Behavior -- 3.) The Government -- 4.) Public Pension -- 5.) World Equilibrium -- 3. The Impacts of Global Population Aging -- 1.) Baseline Simulation -- 2.) Alternative Scenarios -- 3.) Public Pension Reform -- 4.) Fiscal Consolidation -- 4. The Impacts of Global Fiscal Expansion -- Conclusion -- References -- Chapter 3 WHEN RISK WEIGHTS INCREASE THE RISK: SOME CONCERNS FOR CAPITAL REGULATION -- Abstract -- I. Introduction -- II. Portfolio Theory -- II.1. Correlations: the Shape of the Efficient Frontier -- II.2. Investor Preferences. II.3. Choosing the Optimal Portfolio -- III. Optimal Investments without Borrowing and Other Restrictions -- III.1. Introducing Risk Weights -- III.1.1. Optimisation Including Zero-Risk Asset -- III.1.2. Optimisation without Zero-Risk Asset -- IV. Some Implications -- IV.1. The Application of the Model to Credit Risk Related Portfolios -- IV.2. Regulation -- IV.3. Policy Issues -- Conclusion -- Appendix. A Formal Analysis of the Change in the Optimal Investment -- References -- Chapter 4THE ROLE OF FOREIGN MONETARYAUTHORITIES IN THE GLOBAL ECONOMICCRISIS IN TERMS OF REDUCING PRESSUREFROM DECLINING U.S. HOUSE PRICES -- Abstract -- 1. Introduction -- 1.1. The Fall in U.S. House Prices and the Unwinding of the U.S.Current Account -- 1.2. Policy Responses to the Crisis -- 1.3. The Risk of Re-Expanding the U.S. Current Account Deficit -- 2. Methodology -- 2.1. Model -- 2.2. SVAR Model -- 3. Estimated Results -- 3.1. Impulse Response -- 3.2. Variance Decompositions -- 3.3. Robustness Check -- 4. Impacts of the Fall in U.S. House Pricesand the Various Policies -- Conclusion -- Acknowledgments -- Data Appendix -- References -- Chapter5VOLATILITYMODELS:FROMGARCHTOMULTI-HORIZONCASCADES -- Abstract -- 1.Introduction -- 2.EmpiricalPropertiesofVolatility -- 3.ARCH/GARCHFamilyofVolatilityModelsandEx-tensions -- 4.StochasticVolatilityModels -- 5.AggregationofReturnsinTime -- 6.TheHypothesisofMultipleHorizonsinVolatility -- 7.ModelingMultipleHorizonsinVolatilityandEcono-physicsApproach -- 8.Conclusion -- References -- Chapter6LEADERMARKETINDEXES -- Abstract -- 1.Introduction -- 2.LeaderMarketIndexes -- 3.Dataset -- 3.1.UnitedStates -- 3.2.Asia& -- Oceania -- 3.3.Europe -- 4.Results -- 4.1.DescriptiveStatistics -- 4.2.UnitRootTests -- 4.3.GrangerCausality -- 4.3.1.LagLenghtSelectionCriteria -- 4.3.2.VectorAutoregressiveModel(VAR) -- 4.3.3.Forecasting. 4.3.4.GrangercausalityWaldTest -- 4.4.JohansenMultivariateCointegrationTests -- 5.Considerations -- 5.1.ImplicationsforPortfolioAllocation -- 5.2.LeaderMarketIndexesandEfficientMarketHypothesis -- 6.Conclusion -- Appendix1.Causality -- Appendix2.Multi-variateGrangerCausalityTest -- Appendix3.StationarityandAugmentedDickey-FullerTest -- References -- Chapter7THECONTINUOUS-TIMEDYNAMICSOFVIXAMIDTHERECENTMARKETTURMOIL -- Abstract -- I.Introduction -- II.DataDescription -- III.MaximumLikelihoodEstimationofVolatilityIn-dices -- IV.ParametricSpecificationTestsofVolatilityModels -- V.Conclusion -- References -- ExpertCommentaryAPREDICTINGSTOCKRETURNSINACROSS-SECTION:DOINDIVIDUALFIRMCHARACTERISTICSMATTER? -- Abstract -- 1.Introduction -- 2.PricingAnomaliesand"BetasvsCharacteristics"Debate -- 3.Data -- 4.FormalDescriptionoftheMethodology -- 5.DiscussionoftheResults -- 6.Conclusion -- References -- Expert Commentary B ON THE FUTURE OF CAPITAL ASSET PRICING MODELS -- INDEX.
9781617619687
International finance.
Capital market.
Recessions.
Electronic books.
HG3881 -- .F524 2010eb
332/.042