Asset Prices, Booms, and Recessions: Financial Market, Economic Activity, and the MacroeconomyThe book studies the interaction of the financial market, economic activity and the macroeconomy from a dynamic perspective. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity of firms, banks, households, governments and countries. The book shows how economic activity affects asset prices and the financial market and how asset prices and financial market volatility feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The book is not only useful for researchers and practitioners in the field of financial engineering, but is also very useful for researchers and practitioners in economics. |
Contents
Introduction | 1 |
Money Bonds and Interest Rates | 9 |
Term Structure of Interest Rates | 17 |
Copyright | |
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Asset Prices, Booms and Recessions: Financial Economics from a Dynamic ... Willi Semmler No preview available - 2006 |
Common terms and phrases
adverse selection asset market asset prices asset pricing model assumed asymmetric information balance sheets bankruptcy risk based asset pricing Bernanke bond business cycle capital stock CAPM Chiarella collateral compute constraint consumption countries credit market credit risk creditworthiness crises Ct+1 currency debt ceiling default risk discount rate dynamic econometric economic activity economic agents empirical employ equilibrium equity premium estimation Euler equation Euro-area example exchange rate financial crisis financial market firms Flaschel foreign exchange market Gertler growth model households impact imperfect capital markets income innovators interaction interest rate spread investment large output loss lender Lettau loans macro macroeconomic monetary policy nonlinear parameters period portfolio present value RBC model real activity risk-free rt+1 Semmler and Sieveking Sharpe-ratio shocks short term interest stochastic process stock market stock price structure of interest stylized facts T-bill term interest rates term structure Tobin's Q Turnovsky utility function variables