Author: Lionel MartelliniPublisher:
ISBN:
Category :
Languages : en
Pages : 390
Book Description
Three Essays in Asset Pricing Theory
Author: Lionel MartelliniThree essays on real estate finance
Author: Xiaolong LiuPublisher: Rozenberg Publishers
ISBN: 9036101999
Category :
Languages : en
Pages : 132
Book Description
Three Essays on Nonlinearity in Economics
Author: Ehung Gi BaekStochastic dominance in portfolio analysis and asset pricing
Author: Andrey M. LizyayevPublisher: Rozenberg Publishers
ISBN: 9036101875
Category :
Languages : en
Pages : 136
Book Description
Three Essays in Empirical Asset Pricing
Author: Alessio Alberto SarettoPublisher:
ISBN:
Category : Bonds
Languages : en
Pages : 322
Book Description
Three Essays on Asset Pricing Model with Heterogenous Agents
Author: Tae-Jin KangEconomic dances for two - and three
Author: Andrey Andreyevich DubovikPublisher: Rozenberg Publishers
ISBN: 903610209X
Category :
Languages : en
Pages : 121
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 Consumer Behavior and Asset Prices
Author: Jeon-Hyeok ChoBreaking the Ice between government and busisness
Author: Publisher: Rozenberg Publishers
ISBN: 9036101840
Category :
Languages : en
Pages : 244
Book Description