Interim Report of the Working Group on Financial Markets PDF Download

Author: United States. Working Group on Financial Markets
Publisher:
ISBN:
Category : Financial futures
Languages : en
Pages : 128

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Author:
Publisher: Lulu.com
ISBN: 9291316695
Category : Bank capital
Languages : en
Pages : 294

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Author: Francis X. Diebold
Publisher: Springer Science & Business Media
ISBN: 3642456413
Category : Business & Economics
Languages : en
Pages : 153

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Structural exchange rate modeling has proven extremely difficult during the recent post-1973 float. The disappointment climaxed with the papers of Meese and Rogoff (1983a, 1983b), who showed that a "naive" random walk model distinctly dominated received theoretical models in terms of predictive performance for the major dollar spot rates. One purpose of this monograph is to seek the reasons for this failure by exploring the temporal behavior of seven major dollar exchange rates using nonstructural time-series methods. The Meese-Rogoff finding does not mean that exchange rates evolve as random walks; rather it simply means that the random walk is a better stochastic approximation than any of their other candidate models. In this monograph, we use optimal model specification techniques, including formal unit root tests which allow for trend, and find that all of the exchange rates studied do in fact evolve as random walks or random walks with drift (to a very close approximation). This result is consistent with efficient asset markets, and provides an explanation for the Meese-Rogoff results. Far more subtle forces are at work, however, which lead to interesting econometric problems and have implications for the measurement of exchange rate volatility and moment structure. It is shown that all exchange rates display substantial conditional heteroskedasticity. A particularly reasonable parameterization of this conditional heteroskedasticity, which captures the observed clustering of prediction error variances, is developed in Chapter 2.

Author: Hans R. Stoll
Publisher: Springer Science & Business Media
ISBN: 1461557070
Category : Business & Economics
Languages : en
Pages : 143

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Since the US stock market crashed on October 19, 1987, many studies have been conducted to learn from this experience in the hopes of avoiding a similarly adverse future fall. The book, originally published as a special issue of the Journal of Financial Services Research, considers some of the important policy adjustments that have been implemented in the wake of the 1987 crash. Taken separately and together, these five papers offer a synthesis and summary of the most important policy innovations that have evolved since the largest single-day decline in stock market history.

Author: Joseph G. Haubrich
Publisher: University of Chicago Press
ISBN: 0226319288
Category : Business & Economics
Languages : en
Pages : 286

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In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor systemic risk. However, there is much debate about how this might be accomplished quantitatively and objectively—or whether this is even possible. A key issue is determining the appropriate trade-offs between risk and reward from a policy and social welfare perspective given the potential negative impact of crises. One of the first books to address the challenges of measuring statistical risk from a system-wide persepective, Quantifying Systemic Risk looks at the means of measuring systemic risk and explores alternative approaches. Among the topics discussed are the challenges of tying regulations to specific quantitative measures, the effects of learning and adaptation on the evolution of the market, and the distinction between the shocks that start a crisis and the mechanisms that enable it to grow.

Author: Paul H. Kupiec
Publisher:
ISBN:
Category : Margins (Security trading)
Languages : en
Pages : 48

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Author: Ian Ayres
Publisher: ReadHowYouWant.com
ISBN: 1458758427
Category : Business & Economics
Languages : en
Pages : 358

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Diversification provides a well-known way of getting something close to a free lunch: by spreading money across different kinds of investments, investors can earn the same return with lower risk (or a much higher return for the same amount of risk). This strategy, introduced nearly fifty years ago, led to such strategies as index funds. What if we were all missing out on another free lunch that’s right under our noses? InLifecycle Investing, Barry Nalebuff and Ian Ayres-two of the most innovative thinkers in business, law, and economics-have developed tools that will allow nearly any investor to diversify their portfolios over time. By using leveraging when young-a controversial idea that sparked hate mail when the authors first floated it in the pages ofForbes-investors of all stripes, from those just starting to plan to those getting ready to retire, can substantially reduce overall risk while improving their returns. InLifecycle Investing, readers will learn How to figure out the level of exposure and leverage that’s right foryou How the Lifecycle Investing strategy would have performed in the historical market Why it will work even if everyone does it Whennotto adopt the Lifecycle Investing strategy Clearly written and backed by rigorous research,Lifecycle Investingpresents a simple but radical idea that will shake up how we think about retirement investing even as it provides a healthier nest egg in a nicely feathered nest.

Author: Franklin R. Edwards
Publisher: Springer Science & Business Media
ISBN: 9400921934
Category : Business & Economics
Languages : en
Pages : 201

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Author: Merton H. Miller
Publisher: University of Chicago Press
ISBN: 0226527484
Category : Business & Economics
Languages : en
Pages : 417

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Widely regarded as one of the founders of modern corporate finance, Merton H. Miller was awarded a Nobel Prize in 1990 for his work in the theory of finance and financial economics. Selected Works of Merton H. Miller gathers together in two volumes a selection of Miller's most influential contributions over more than fifty years of active research. A common theme running throughout both volumes is Miller's conviction about the utility of market-based approaches to topics as diverse as dividend policy, bank regulation, the structure of securities markets, and competition between research universities and teaching colleges. Miller was perhaps best known for a series of highly influential papers he cowrote in the 1950s and 1960s with fellow Nobel laureate Franco Modigliani that advanced a set of capital structure theorems later dubbed the "M and M propositions." In brief, the M and M propositions state that the actions of investors, firms, and capital markets will cause the market value of a firm to be independent of its capital structure. In other words, a corporation's value depends on its investments in people, ideas, and physical capital goods and not on the mix of bonds, stocks, and other securities used to finance the investments. Four of these papers are reprinted here, together with important later work by Miller in macroeconomics, corporate capital structure, management science, asset pricing, and the economic and regulatory problems of the financial services industry. Diverse and innovative, the papers in Selected Works of Merton H. Miller will interest students and practitioners of economics, finance, and business, as well as policymakers responsible for market regulation.

Author: Alexander Miller
Publisher: Wiley
ISBN: 9781557862525
Category : Business & Economics
Languages : en
Pages : 288

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In this book, Nobel Laureate Merton Miller presents a sustained attack on the popular view that modern financial innovations have created excessive market volatility to the detriment of individual savers and business investors, and that regulation is essential in such forms as higher margin requirements, taxes on trading, and perhaps even closing down the future market.