Essays on Financial Market Interdependence PDF Download

Author: Lu Liu
Publisher:
ISBN:
Category : Stock exchanges
Languages : en
Pages : 105

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Author: Antonios Antoniou
Publisher:
ISBN: 9789089940209
Category :
Languages : en
Pages : 168

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Author: W. A. Mohammed
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Author: Giulio Girardi
Publisher:
ISBN:
Category : Financial institutions
Languages : en
Pages : 194

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"This dissertation consists of three essays that examine the interdependence in financial markets."--Abstract

Author: Helmut Reisen
Publisher: Edward Elgar Publishing
ISBN:
Category : Business & Economics
Languages : en
Pages : 264

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Debt, Deficits and Exchange Rates presents recent work by Helmut Reisen on current international monetary problems in East Asia and Latin America. Written over the last four years, these papers are readily accessible and of immediate policy relevance. The first part is concerned with the debt problems of developing countries, including the growth of domestic public debt, means of hedging a country's debt portfolio against key currency fluctuations, evidence on the debt overhang hypothesis, an evaluation of the Brady Plan, and how to attract foreign direct investment. This is followed by essays on financial opening which discuss the impact of alternative exchange rate regimes during financial integration, the degree of financial openness in Korea and Taiwan, an appropriate strategy for the liberalization of capital flows, and the relationship between financial opening and capital flows. The final part underlines the need for exchange rate management. Issues considered include New Zealand's experience with a pure float, the use of the theory of optimal currency areas to assess whether Asian countries should peg to the Yen, institutional features of macroeconomic management in Asia, and how Latin America should respond to heavy capital flows. Bringing together under one cover a wealth of analysis, comment and argument by a leading international scholar, this volume will be welcomed by students, teachers and policymakers as an important contribution to understanding international monetary problems in the developing world.

Author: Sumit Agarwal
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 288

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Author: Fabio Pietro Ghironi
Publisher:
ISBN:
Category :
Languages : en
Pages : 530

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Author: Nicola Cetorelli
Publisher:
ISBN:
Category :
Languages : en
Pages : 166

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Author: Tatevik Zohrabyan
Publisher:
ISBN:
Category :
Languages : en
Pages :

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Financial market and its various components are currently in turmoil. Many large corporations are devising new ways to overcome the current market instability. Consequently, any study fostering the understanding of financial markets and the dependencies of various market components would greatly benefit both the practitioners and academicians. To understand different parts of the financial market, this dissertation employs time series methods to model causality and structure and degree of dependence. The relationship of housing market prices for nine U.S. census divisions is studied in the first essay. The results show that housing market is very interrelated. The New England and West North Central census divisions strongly lead house prices of the rest of the country. Further evidence suggests that house prices of most census divisions are mainly influenced by house price changes of other regions. The interdependence of oil prices and stock market indices across countries is examined in the second essay. The general dependence structure and degree is estimated using copula functions. The findings show weak dependence between stock market indices and oil prices for most countries except for the large oil producing nations which show high dependence. The dependence structure for most oil consuming (producing) countries is asymmetric implying that stock market index and oil price returns tend to move together more during the market downturn (upturn) than a market boom (downturn). In the third essay, the relationship among stock returns of ten U.S. sectors is studied. Copula models are used to explore the non-linear, general association among the series. The evidence shows that sectors are strongly related to each other. Energy sector is relatively weakly connected with the other sectors. The strongest dependence is between the Industrials and Consumer Discretionary sectors. The high dependence suggests small (if any) gains from industry diversification in U.S. In conclusion, the correct formulation of relationships among variables of interest is crucial. This is one of the fundamental issues in portfolio analysis. Hence, a thorough examination of time series models that are used to understand interactions of financial markets can be helpful for devising more accurate investment strategies.

Author: Rong-Chang Wu
Publisher:
ISBN:
Category : Capital investments
Languages : en
Pages : 304

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