Asset Prices, Booms and Recessions, Springer 2006

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Asset Prices, Booms and Recessions, Springer 2006
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</p><p>作者：Prof. Willi Semmler<br/>格式：英文PDF<br/>出版社：springer 2006<br/>"Asset Prices, Booms and Recessions" is a book on Financial Economics from a dynamic perspective. It focuses on the dynamic interaction of financial markets and economic activity. The financial markets to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market. Economic activity is described by the activity 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 feed back to economic activity. The focus in this book is on theories, dynamic models and empirical evidence. Empirical applications relate to episodes of financial instability and financial crises of the U.S., Latin American, Asian as well as Euro-area countries. The current version of the book has moved to a more extensive coverage of the topics in financial economics by updating the literature in the appropriate chapters. Moreover it gives a more extensive treatment of new and more advanced topics in financial economics such as international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models and dynamic portfolio decisions. Overall, the book presents material that researchers and practitioners in financial engineering need to know about economic dynamics and that economists, practitioners and policy makers need to know about the financial market. </p><p><br/>Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 1<br/>I Money, Bonds and Economic Activity<br/>1 Money, Bonds and Interest Rates . . . . . . . . . . . . . . . . . . . . . . . . 9<br/>1.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9<br/>1.2 Some Basics . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 9<br/>1.3 Macroeconomic Theories of the Interest Rate . . . . . . . . . . . . . . . . . . 10<br/>1.4 Monetary Policy and Interest Rates . . . . . . . . . . . . . . . . . . . . . . . . . . . 13<br/>1.5 Monetary Policy andAsset Prices . . . . . . . . . . . . . . . . . . . . . . . . . . . . 14<br/>1.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 15<br/>2 Term Structure of Interest Rates . . . . . . . . . . . . . . . . . . . . . . . . 17<br/>2.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17<br/>2.2 Definitions and Theories . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 17<br/>2.3 Empirical Tests on the TermStructure. . . . . . . . . . . . . . . . . . . . . . . . . 19<br/>2.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 23<br/>II The Credit Market and Economic Activity<br/>3 Theories on Credit Market, Credit Risk and Economic<br/>Activity . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27<br/>3.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 27<br/>3.2 Perfect Capital Markets: Infinite Horizon and Two Period Models . 27<br/>3.3 Imperfect CapitalMarkets: Some Basics . . . . . . . . . . . . . . . . . . . . . . 35<br/>3.4 Imperfect CapitalMarkets:Microtheory . . . . . . . . . . . . . . . . . . . . . . . 37<br/>3.5 Imperfect Capital Markets: Macrotheory . . . . . . . . . . . . . . . . . . . . . . 39<br/>3.6 Imperfect CapitalMarkets: TheMicro-Macro Link. . . . . . . . . . . . . . 43<br/>3.7 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 48<br/>4 Empirical Tests on Credit Market and Economic Activity 49<br/>4.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 49<br/>4.2 Bankruptcy Risk and Economic Activity . . . . . . . . . . . . . . . . . . . . . . 49<br/>4.3 Liquidity and Economic Activity in a ThresholdModel . . . . . . . . . . 55<br/>4.4 Estimations of Credit Risk and Sustainable Debt . . . . . . . . . . . . . . . . 63<br/>4.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 76<br/>VIII Table of Contents<br/>III The Stock Market and Economic Activity<br/>5 Approaches to Stock Market and Economic Activity . . . . . 79<br/>5.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 79<br/>5.2 The IntertemporalApproach. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 80<br/>5.3 The Excess Volatility Theory . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 82<br/>5.4 HeterogeneousAgentsModels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 84<br/>5.5 The VAR Methodology . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 85<br/>5.6 Regime ChangeModels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87<br/>5.7 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 88<br/>6 Macro Factors and the Stock Market . . . . . . . . . . . . . . . . . . . . 89<br/>6.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 89<br/>6.2 A Dynamic Macro Model . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 90<br/>6.3 Empirical Results . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 93<br/>6.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 95<br/>7 New Technology and the Stock Market . . . . . . . . . . . . . . . . . . 97<br/>7.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97<br/>7.2 Some Facts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 97<br/>7.3 TheModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 99<br/>7.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 102<br/>IV Asset Pricing and Economic Activity<br/>8 Static Portfolio Theory: CAPM and Extensions . . . . . . . . . . 105<br/>8.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 105<br/>8.2 Portfolio Theory and CAPM: Simple Form . . . . . . . . . . . . . . . . . . . . 105<br/>8.3 Portfolio Theory and CAPM: Generalizations . . . . . . . . . . . . . . . . . . 110<br/>8.4 Efficient Frontier for an Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . 112<br/>8.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 113<br/>9 Consumption Based Asset Pricing Models . . . . . . . . . . . . . . . 115<br/>9.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115<br/>9.2 Present ValueApproach . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 115<br/>9.3 Asset Pricing with a Stochastic Discount Factor . . . . . . . . . . . . . . . . 116<br/>9.4 Derivation of some Euler Equations . . . . . . . . . . . . . . . . . . . . . . . . . . 119<br/>9.5 Consumption, Risky Assets and the Euler Equation . . . . . . . . . . . . . 122<br/>9.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 126<br/>Table of Contents IX<br/>10 Asset Pricing Models with Production . . . . . . . . . . . . . . . . . . . 129<br/>10.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 129<br/>10.2 Stylized Facts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131<br/>10.3 The Baseline RBCModel . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 131<br/>10.4 AssetMarket Restrictions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 133<br/>10.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135<br/>V Foreign Exchange Market, Financial Instability and<br/>Economic Activity<br/>11 Balance Sheets and Financial Instability . . . . . . . . . . . . . . . . . 139<br/>11.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 139<br/>11.2 The Economy-Wide Balance Sheets . . . . . . . . . . . . . . . . . . . . . . . . . . 140<br/>11.3 Households’Holding of FinancialAssets . . . . . . . . . . . . . . . . . . . . . . 141<br/>11.4 Shocks and FinancialMarket Reactions . . . . . . . . . . . . . . . . . . . . . . . 143<br/>11.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 144<br/>12 Exchange Rate Shocks, Financial Crisis and Output Loss 145<br/>12.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 145<br/>12.2 Stylized Facts . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 146<br/>12.3 The Standard ExchangeRate OvershootingModel . . . . . . . . . . . . . . 147<br/>12.4 ExchangeRate Shocks and Balance Sheets . . . . . . . . . . . . . . . . . . . . 151<br/>12.5 Exchange Rate Shocks, Balance Sheets and Economic Contraction 153<br/>12.6 ExchangeRate Shocks,CreditRationing and EconomicContractions 159<br/>12.7 Exchange Rate Shocks, Default Premia and Economic Contractions 163<br/>12.8 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 167<br/>13 International Portfolio and the Diversification of Risk . . . 169<br/>13.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 169<br/>13.2 Risk from Exchange Rate Volatility . . . . . . . . . . . . . . . . . . . . . . . . . . . 169<br/>13.3 Portfolio Choice and Diversification of Risk . . . . . . . . . . . . . . . . . . . 172<br/>13.4 International Bond Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 173<br/>13.5 International Equity Portfolio . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 175<br/>13.6 Efficient Frontier of an International Portfolio . . . . . . . . . . . . . . . . . . 177<br/>13.7 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 177<br/>VI Advanced Modeling of Asset Markets<br/>14 Agent Based and Evolutionary Modeling of Asset Markets 181<br/>14.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181<br/>X Table of Contents<br/>14.2 HeterogeneousAgentModels. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 181<br/>14.3 EvolutionaryModels . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 184<br/>14.4 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 187<br/>15 Behavioral Models of Dynamic Asset Pricing . . . . . . . . . . . . 189<br/>15.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189<br/>15.2 DynamicHabit FormationModels . . . . . . . . . . . . . . . . . . . . . . . . . . . . 189<br/>15.3 Moving Beyond Consumption Based Asset Pricing Models . . . . . . . 195<br/>15.4 The Asset PricingModel with Loss Aversion . . . . . . . . . . . . . . . . . . . 198<br/>15.5 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 202<br/>16 Dynamic Portfolio Choice Models . . . . . . . . . . . . . . . . . . . . . . . 203<br/>16.1 Introduction . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 203<br/>16.2 Wealth Accumulation and PortfolioDecisions . . . . . . . . . . . . . . . . . . 203<br/>16.3 Discrete Time Dynamic Portfolio Choice under Log-Normality . . . 206<br/>16.4 Continuous Time Deterministic Dynamic Portfolio Choice . . . . . . . 209<br/>16.5 Continuous Time Stochastic Dynamic Portfolio Choice . . . . . . . . . . 215<br/>16.6 Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 222<br/>17 Some Policy Conclusions . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 223<br/>Bibliography . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 239<br/>Subject Index . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 253<br/></p><p></p>

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关键词：Recessions recession Springer Prices Spring countries activity economic exchange dynamic