Author: Gabriel Perez-QuirosPublisher:
ISBN:
Category : Capital movements
Languages : en
Pages : 342
Book Description
Three Essays in Business Cycles and Finance
Author: Gabriel Perez-QuirosPublisher:
ISBN:
Category : Capital movements
Languages : en
Pages : 342
Book Description
Three Essays on Business Cycles
Author: John Bailey JonesThree Essays on Real Business Cycles
Author: 陳冠任Three Essays on Business Cycles
Author: Ryo JinnaiPublisher:
ISBN: 9781109133264
Category :
Languages : en
Pages : 119
Book Description
In the third chapter, I conduct an empirical study of the so-called Japanese "lost decade," over a decade-long economic slump in the Japanese economy since early 1990s. I investigate the effect of Japanese monetary policy when short-term nominal interest rates were virtually zero. A structural break in the mid-90s was an issue in previous empirical work, but the sample period of this paper, from March 1999 to October 2006, is free from it. The main finding is that monetary policy acting through the reserve balance control during the period had real effects on the economy.
Business Cycles in General Equilibrium
Author: Yi WenPublisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 176
Book Description
Three Essays in International Finance
Author: Byong-Ju LeePublisher: Stanford University
ISBN:
Category :
Languages : en
Pages : 132
Book Description
This thesis consists of three essays on international finance. The first essay is "Exchange rates and Fundamentals". A new open interest rate parity condition that takes account of economic fundamentals is developed from stochastic discount factors (SDFs) of two countries. Through this parity condition, business cycles or fundamentals are linked to exchange rates. Key empirical findings from this parity condition are as follows. First, this model beats the random walk hypothesis: economic fundamentals explain exchange rate movements for high interest rate currencies. Exchange rates of low interest rate currencies act like a random walk because they are less correlated with fundamentals owing to their low risk. For example, U.S. business cycles explain the direction of changes in exchange rates against the dollar. The same thing is true for Japan. Second, this model resolves the forward premium puzzle: the forward premium puzzle is not a general characteristic as regarded in previous studies. It happens when the risk awareness of investors is low, during economic expansions and for low risk currencies. The second essay is "Carry Trade and Global Financial Instability". Carry trade, an opportunistic investment strategy that takes advantage of interest rate differential across countries, is identified the cause of the large-scale depreciations of peripheral currencies in the later half of 2008. A simultaneous equations model, which is derived from a conceptual partial equilibrium model for a local foreign exchange market, is estimated from a cross-sectional sample. The results suggest that the larger appreciation of the yen than the dollar was brought about by a lack of the local supply of the yen rather than a more severe crunch of yen credits. The third essay is "The Economic Origin of Letters of Credit". This essay discusses the economic origin of letters of credit, an instrument widely used in international trade. A game theoretical analysis shows that letters of credit improve efficiency in trade settlements, increasing returns in trade. A few notable facts on letters of credit are discussed. First, the new institution is adopted by merchant banks to maximize their profits and in the process, an improvement in efficiency of international transactions is obtained. Second, the organization established by the legacy institution, bills of exchange, played a critical role in adopting the new institution. Third, the legal enforcement is not essential in this economic institution. Finally, two drivers are identified that improve efficiency of transactions: concentration and projection.
Three Essays on Expectation Driven Business Cycles
Author: Shen GuoPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
This thesis studies business cycles driven by agents' expectation of future technology changes. The first chapter explores the effects which nominal rigidities and monetary policies have on the generation of Pigou cycles. The optimal response of the central bank is analyzed under circumstances when agents receive a signal indicating the technology change in the future. To achieve these objectives, I introduce nominal rigidities and monetary policy into a standard two-sector model with non-durable and durable goods. The optimal reaction of the central bank is found by solving the Ramsey optimization problem. I find that nominal rigidities tend to amplify the responses to the expectation and monetary policies affect the expectation driven business cycles by affecting the real interest rate and user cost of durable goods. Another interesting result is that a simple policy rule reacting to the inflation rates in both non-durable and durable sector with appropriate weights can closely mimic the performance of the Ramsey policy. The second chapter estimates a sticky price two-sector model with home production and capital adjustment costs to assess the significance of the news shocks in generating aggregate fluctuations. The analysis suggests that news shocks account for about 34% of the fluctuations in the aggregate output, 25% of the fluctuations in consumption-sector output and 38% of the fluctuations in investment-sector output. The third chapter explores the booms and busts induced by news shocks in a model economy with financial market frictions. With the presence of financial market frictions, firms have to pay an external finance premium which depends inversely on their net values. This provides firms with an incentive to build up capital stocks now to lower the external finance premium in the future. When firms receive news indicating a future technology improvement, they anticipate the need for more capital and so more external finance in the future; they could lower their future external finance costs by building up their capital and net values now. By adding financial market frictions into an otherwise standard RBC model, the model in chapter 3 succeeds in generating a boom when a news shock hits the economy.
Business Cycles and Equilibrium
Author: Fischer BlackPublisher: John Wiley & Sons
ISBN: 0470499176
Category : Business & Economics
Languages : en
Pages : 224
Book Description
An updated look at what Fischer Black's ideas on business cycles and equilibrium mean today Throughout his career, Fischer Black described a view of business fluctuations based on the idea that a well-developed economy will be continually in equilibrium. In the essays that constitute this book, which is one of only two books Black ever wrote, he explores this idea thoroughly and reaches some surprising conclusions. With the newfound popularity of quantitative finance and risk management, the work of Fischer Black has garnered much attention. Business Cycles and Equilibrium-with its theory that economic and financial markets are in a continual equilibrium-is one of his books that still rings true today, given the current economic crisis. This Updated Edition clearly presents Black's classic theory on business cycles and the concept of equilibrium, and contains a new introduction by the person who knows Black best: Perry Mehrling, author of Fischer Black and the Revolutionary Idea of Finance (Wiley). Mehrling goes inside Black's life to uncover what was occurring during the time Black wrote Business Cycles and Equilibrium, while also shedding light on what Black would make of today's financial and economic meltdown and how he would best advise to move forward. The essays within this book reach some interesting conclusions concerning the role of equilibrium in a developed economy Warns about the use and abuse of modeling Explains the risky business of risk in a straightforward and accessible style Contains chapters dedicated to "the effects of uncontrolled banking," "the trouble with econometric models," and "the effects of noise on investing" Includes commentary on Black's life and work at the time Business Cycles and Equilibrium was written as well as insight as to what Black would make of the current financial meltdown Engaging and informative, the Updated Edition of Business Cycles and Equilibrium will give you a better understanding of what is really going on during these uncertain and volatile financial times.
Information, Business Cycles and Currency Management
Author: Yuo-Jin Eugene YunUnderstanding Business Cycles in Open Economies
Author: Mustakiym Ayhan KosePublisher:
ISBN:
Category : Business cycles
Languages : en
Pages : 336
Book Description