Asset Pricing In The International Economy PDF Download
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| Author | : Mr.José M. Barrionuevo |
| Publisher | : International Monetary Fund |
| Total Pages | : 46 |
| Release | : 1993-02-01 |
| Genre | : Business & Economics |
| ISBN | : 1451843186 |
Download Asset Pricing in the International Economy Book in PDF, ePub and Kindle
This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
| Author | : José Barrionuevo |
| Publisher | : |
| Total Pages | : 44 |
| Release | : 2006 |
| Genre | : |
| ISBN | : |
Download Asset Pricing in the International Economy Book in PDF, ePub and Kindle
This paper presents a statistical and economic interpretation of the low and often economically implausible risk aversion estimates obtained for fixed income assets throughout the finance literature. For a statistical interpretation, Monte Carlo simulations are used to demonstrate that specification errors introduce a serious downward bias in parameter estimates derived from the standard asset pricing model. For an economic interpretation, an international version of the asset pricing model is presented. The model suggests that by reducing the effect of country specific disturbances, an international measure of consumption growth yields more accurate risk aversion estimates than a national measure. The results of asset pricing tests suggest that risk aversion estimates derived from models constructed for the international measures are economically plausible and close to each other across eight industrialized economies. These results are robust for several asset returns.
| Author | : David T. Coe |
| Publisher | : |
| Total Pages | : |
| Release | : 1993 |
| Genre | : |
| ISBN | : |
Download Asset Pricing in the International Economy Book in PDF, ePub and Kindle
| Author | : Sumru Altug |
| Publisher | : Cambridge University Press |
| Total Pages | : 702 |
| Release | : 2008-09-11 |
| Genre | : Business & Economics |
| ISBN | : 1139474367 |
Download Asset Pricing for Dynamic Economies Book in PDF, ePub and Kindle
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
| Author | : José M. Barrionuevo |
| Publisher | : |
| Total Pages | : 204 |
| Release | : 1992 |
| Genre | : Capital assets pricing model |
| ISBN | : |
Download Asset Pricing in the International Economy and the Specification of Random Disturbances Book in PDF, ePub and Kindle
| Author | : Willi Semmler |
| Publisher | : Springer Science & Business Media |
| Total Pages | : 327 |
| Release | : 2011-06-15 |
| Genre | : Business & Economics |
| ISBN | : 3642206808 |
Download Asset Prices, Booms and Recessions Book in PDF, ePub and Kindle
The financial market melt-down of the years 2007-2009 has posed great challenges for studies on financial economics. This financial economics text focuses on the dynamic interaction of financial markets and economic activity. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market; economic activity includes the actions and interactions 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 and crises impact economic activity. The book offers extensive coverage of new and advanced topics in financial economics such as the term structure of interest rates, credit derivatives and credit risk, domestic and international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio decisions. Moreover a completely new section of the book is dedicated to the recent financial market meltdown of the years 2007-2009. Emphasis is placed on empirical evidence relating to episodes of financial instability and financial crises in the U.S. and in Latin American, Asian and Euro-area countries. Overall, the book explains what researchers and practitioners in the financial sector need to know about the financial-real interaction, and what practitioners and policy makers need to know about the financial market.
| Author | : Sumru Altug |
| Publisher | : Cambridge University Press |
| Total Pages | : 0 |
| Release | : 2008-09-11 |
| Genre | : Business & Economics |
| ISBN | : 9780521699143 |
Download Asset Pricing for Dynamic Economies Book in PDF, ePub and Kindle
This introduction to general equilibrium modelling takes an integrated approach to the analysis of macroeconomics and finance. It provides students, practitioners, and policymakers with an easily accessible set of tools that can be used to analyze a wide range of economic phenomena. Key features: • Provides a consistent framework for understanding dynamic economic models • Introduces key concepts in finance in a discrete time setting • Develops simple recursive approach for analyzing a variety of problems in a dynamic, stochastic environment • Sequentially builds up the analysis of consumption, production, and investment models to study their implications for allocations and asset prices • Reviews business cycle analysis and the business cycle implications of monetary and international models • Covers latest research on asset pricing in overlapping generations models and on models with borrowing constraints and transaction costs • Includes end-of-chapter exercises allowing readers to monitor their understanding of each topic Online resources are available at www.cambridge.org/altug_labadie
| Author | : Samuel P. Fraiberger |
| Publisher | : International Monetary Fund |
| Total Pages | : 33 |
| Release | : 2018-12-10 |
| Genre | : Business & Economics |
| ISBN | : 1484389212 |
Download Media Sentiment and International Asset Prices Book in PDF, ePub and Kindle
We assess the impact of media sentiment on international equity prices using more than 4.5 million Reuters articles published across the globe between 1991 and 2015. News sentiment robustly predicts daily returns in both advanced and emerging markets, even after controlling for known determinants of stock prices. But not all news-sentiment is alike. A local (country-specific) increase in news optimism (pessimism) predicts a small and transitory increase (decrease) in local returns. By contrast, changes in global news sentiment have a larger impact on equity returns around the world, which does not reverse in the short run. We also find evidence that news sentiment affects mainly foreign – rather than local – investors: although local news optimism attracts international equity flows for a few days, global news optimism generates a permanent foreign equity inflow. Our results confirm the value of media content in capturing investor sentiment.
| Author | : John Y. Campbell |
| Publisher | : University of Chicago Press |
| Total Pages | : 444 |
| Release | : 2008-11-15 |
| Genre | : Business & Economics |
| ISBN | : 0226092127 |
Download Asset Prices and Monetary Policy Book in PDF, ePub and Kindle
Economic growth, low inflation, and financial stability are among the most important goals of policy makers, and central banks such as the Federal Reserve are key institutions for achieving these goals. In Asset Prices and Monetary Policy, leading scholars and practitioners probe the interaction of central banks, asset markets, and the general economy to forge a new understanding of the challenges facing policy makers as they manage an increasingly complex economic system. The contributors examine how central bankers determine their policy prescriptions with reference to the fluctuating housing market, the balance of debt and credit, changing beliefs of investors, the level of commodity prices, and other factors. At a time when the public has never been more involved in stocks, retirement funds, and real estate investment, this insightful book will be useful to all those concerned with the current state of the economy.
| Author | : Forrest Capie |
| Publisher | : Springer |
| Total Pages | : 295 |
| Release | : 2016-01-15 |
| Genre | : Business & Economics |
| ISBN | : 1349254096 |
Download Asset Prices and the Real Economy Book in PDF, ePub and Kindle
The recession which many countries experienced in the early 1990s had certain unusual aspects. Most notably, and common to all countries, was the behaviour of asset prices relative to the general price level. In consequence, reasons were sought to explain the special characteristics of the recession and as a result of the behaviour of asset prices attention turned to 'Debt-Deflation Theories' associated in different forms with Keynes and Irving Fisher. The contributors to this volume discuss the significance of debt deflation. Their striking common feature is that, on the evidence presented here, the behaviour of asset prices should not be of great concern to policy makers, or to those attempting to understand economic behaviour. However, residual doubts remain over the Japanese case.
