Bubbles And Contagion In Financial Markets Volume 1

Author : E. Porras
Publisher : Springer
Page : 289 pages
File Size : 48,7 Mb
Release : 2016-06-29
Category : Social Science
ISBN : 9781137358769

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Bubbles and Contagion in Financial Markets, Volume 1 by E. Porras Pdf

Understanding the formation of bubbles and the contagion mechanisms afflicting financial markets is a must as extreme volatility events leave no market untouched. Debt, equity, real estate, commodities... Shanghai, NY, or London: The severe fluctuations, explained to a large extent by contagion and the fear of new bubbles imploding, justify the newly awaken interest in the contagion and bubble dynamics as yet again the world brazes for a new global economic upheaval. Bubbles and Contagion in Financial Markets explores concepts, intuition, theory, and models. Fundamental valuation, share price development in the presence of asymmetric information, the speculative behavior of noise traders and chartists, herding and the feedback and learning mechanisms that surge within the markets are key aspects of these dynamics. Bubbles and contagion are a vast world and fascinating phenomena that escape a narrow exploration of financial markets. Hence this work looks beyond into macroeconomics, monetary policy, risk aggregation, psychology, incentive structures and many more subjects which are in part co-responsible for these events. Responding to the ever more pressing need to disentangle the dynamics by which financial local events are transmitted across the globe, this volume presents an exhaustive and integrative outlook to the subject of bubbles and contagion in financial markets. The key objective of this volume is to give the reader a comprehensive understanding of all aspects that can potentially create the conditions for the formation and bursting of bubbles, and the aftermath of such events: the contagion of macro-economic processes. Achieving a better understanding of the formation of bubbles and the impact of contagion will no doubt determine the stability of future economies – let these two volumes be the starting point for a rational approach to a seemingly irrational phenomena.

Author : Eva R. Porras
Publisher : Unknown
Page : 266 pages
File Size : 42,9 Mb
Release : 2017
Category : Business enterprises
ISBN : 1349706817

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Bubbles and Contagion in Financial Markets, Volume 2 by Eva R. Porras Pdf

Author : Eva R. Porras
Publisher : Springer
Page : 266 pages
File Size : 49,5 Mb
Release : 2017-10-31
Category : Business & Economics
ISBN : 9781137524423

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Bubbles and Contagion in Financial Markets, Volume 2 by Eva R. Porras Pdf

This book focuses on extending the models and theories (from a mathematical/statistical point of view) which were introduced in the first volume to a more technical level. Where volume I provided an introduction to the mathematics of bubbles and contagion, volume II digs far more deeply and widely into the modeling aspects.

Author : Friedrich L. Sell
Publisher : Edward Elgar Publishing
Page : 248 pages
File Size : 54,5 Mb
Release : 2001-01-01
Category : Business & Economics
ISBN : 1781956251

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Contagion in Financial Markets by Friedrich L. Sell Pdf

This book aims to integrate the notions of contagion in epidemiology and contagion in financial market crises to discover why emerging markets are so susceptible to financial crises. The author first provides a brief introduction of the contagious spill-over of recent financial market crises and models the pattern of these crises. He finds that the contagion between crises in emerging markets, such as that of the crises in Russia and Brazil in 1998-1999, is explicable, despite the fact that at first sight they appear to have little in common. Finally, Friedrich Sell integrates these findings to outline a proposal for a 'new international financial architecture'.

Author : Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji
Publisher : Routledge
Page : 426 pages
File Size : 54,8 Mb
Release : 2019-06-28
Category : Business & Economics
ISBN : 9781351669214

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International Financial Markets by Julien Chevallier,Stéphane Goutte,David Guerreiro,Sophie Saglio,Bilel Sanhaji Pdf

This book provides an up-to-date series of advanced chapters on applied financial econometric techniques pertaining the various fields of commodities finance, mathematics & stochastics, international macroeconomics and financial econometrics. International Financial Markets: Volume I provides a key repository on the current state of knowledge, the latest debates and recent literature on international financial markets. Against the background of the "financialization of commodities" since the 2008 sub-primes crisis, section one contains recent contributions on commodity and financial markets, pushing the frontiers of applied econometrics techniques. The second section is devoted to exchange rate and current account dynamics in an environment characterized by large global imbalances. Part three examines the latest research in the field of meta-analysis in economics and finance. This book will be useful to students and researchers in applied econometrics; academics and students seeking convenient access to an unfamiliar area. It will also be of great interest established researchers seeking a single repository on the current state of knowledge, current debates and relevant literature.

Author : Harold L. Vogel
Publisher : Springer
Page : 477 pages
File Size : 50,7 Mb
Release : 2018-08-16
Category : Business & Economics
ISBN : 9783319715285

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Financial Market Bubbles and Crashes, Second Edition by Harold L. Vogel Pdf

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Author : Harold L. Vogel
Publisher : Springer Nature
Page : 619 pages
File Size : 45,9 Mb
Release : 2021-12-17
Category : Business & Economics
ISBN : 9783030791827

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Financial Market Bubbles and Crashes by Harold L. Vogel Pdf

Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and are defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Author : John R. Talbott
Publisher : Wiley
Page : 272 pages
File Size : 44,6 Mb
Release : 2008-12-31
Category : Business & Economics
ISBN : 0470442212

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Contagion by John R. Talbott Pdf

Bestselling author John Talbott outlines the troublesome economic times ahead and what can be done about them Tough times are here, and author John Talbott-who accurately predicted the dot.com technology stock collapse as well as the recent housing, mortgage, and financial crises-argues that the coming global recession will be unlike anything we've ever seen. In Contagion, Talbott turns his attention to this crisis and offers insights on what can be done to navigate such treacherous terrain. Talbott sets the stage by discussing how government borrowing and spending on the war, healthcare, Social Security, and corporate giveaways combined with dramatic increases in personal spending, fueled by credit card and mortgage debt, have funded unsustainable levels of personal and government consumption. Offers practical suggestions as to how investors and homeowners can best weather this storm with straightforward advice on where to invest Examines real estate and housing issues to help you make the best decisions possible in this arena Details the best ways to utilize stocks, bonds, TIPS, and commodities, and to prosper during this global crisis If you really want to protect yourself from the unfolding economic crisis, then Contagion is the book you need to read.

Author : Rob Quail
Publisher : John Wiley & Sons
Page : 570 pages
File Size : 44,7 Mb
Release : 2011-02-09
Category : Business & Economics
ISBN : 9781118016527

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Financial Contagion by Rob Quail Pdf

"Financial Contagion: The Viral Threat to the Wealth of Nations covers a lot of territory. It is, of course, terribly important to analyze case histories to discover potential triggers, mechanisms of transmission, and viable ways to contain the damage of financial contagion. The problem is, as these articles amply demonstrate, that there’s always a new virus or a mutation of a former one lurking in some corner of the financial world. We don’t know what it is or where it is. And, even if we had some inkling, there’s almost never enough time to develop a financial flu shot." --SeekingAlpha.com The latest insights on financial contagion and how both nations and investors can effectively deal with it. The domino-style structure in which the financial system exists is a perilous one. Although historically, the financial system has been able to deal with major shocks, the fact remains that our financial system is not as secure as it should be. Recent years have brought about too many examples of contagion and systemic risk. That is why Financial Contagion is such an important read. In it, the serious concerns that revolve around our fragile economic system are investigated, researched, and explained. Throughout the book, Kolb offers valuable insights on this dilemma as he compiles the history of financial contagion, highlights the latest research on systemic failure and interrelated markets, and analyzes the risks and consequences we face moving forward. Examines the importance of careful regulation and what must be done to stabilize the global financial system Includes contributed chapters from both academics and experienced professionals, offering a variety of perspectives and a rich interplay of ideas Details how close we are to witnessing a financial contagion that could devastate the world economy We have been harshly reminded of how fragile our economic ecosystem is. With Financial Contagion, you'll hold a better understanding of what needs to be done to strengthen our system and safeguard our financial future.

Author : Serge Darolles,Christian Gourieroux
Publisher : Elsevier
Page : 166 pages
File Size : 45,6 Mb
Release : 2015-08-26
Category : Business & Economics
ISBN : 9780081004784

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Contagion Phenomena with Applications in Finance by Serge Darolles,Christian Gourieroux Pdf

Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard practice for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks Features the standard practice of defining shocks to models to help you to define impulse response and dynamic consequences Shows that identification of shocks can be solved in a dynamic framework, even within a linear perspective Helps you to apply the models to portfolio management, risk monitoring, and the analysis of financial stability

Author : Ritu Basu
Publisher : Unknown
Page : 37 pages
File Size : 54,6 Mb
Release : 2006
Category : Electronic
ISBN : OCLC:1291216171

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Financial Contagion and Investor Learning by Ritu Basu Pdf

There have been several episodes of financial market contagion in the 1990s. Is contagion driven by herd behavior? Does it reflect fundamental economic linkages between countries? Or are episodes of contagion driven by investor learning and risk reassessment about a select group of countries? We pursue these questions by studying the persistence in the spillover of shocks following the bond market developments in Hong Kong SAR in 1997. Our results suggest that this contagion, at least for a few countries, was a consequence of adverse sentiment shifts arising from investor learning and was not merely driven by changes in fundamentals.

Author : Pierre-Richard Agénor,Joshua Aizenman
Publisher : International Monetary Fund
Page : 40 pages
File Size : 44,6 Mb
Release : 1997-10
Category : Business & Economics
ISBN : UCSD:31822025983305

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Contagion and Volatility with Imperfect Credit Markets by Pierre-Richard Agénor,Joshua Aizenman Pdf

This paper interprets contagion effects as an increase in the volatility of aggregate shocks impinging on the domestic economy. The implications of this approach are analyzed in a model with two types of credit market imperfections: domestic banks borrow at a premium on world capital markets, and domestic producers (whose demand for credit results from working capital needs) borrow at a premium from domestic banks. Higher volatility of producers’ productivity shocks increases both domestic and foreign financial spreads and the producers’ cost of capital, resulting in lower employment and higher incidence of default. Welfare effects are nonlinearly related to the degree of international financial integration.

Author : Stefan Palan
Publisher : Unknown
Page : 188 pages
File Size : 44,8 Mb
Release : 2009-10-02
Category : Capital market
ISBN : 3642021484

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Bubbles and Crashes in Experimental Asset Markets by Stefan Palan Pdf

This book describes a laboratory experiment designed to test the causes and properties of bubbles in financial markets and explores the question whether it is possible to design markets which avoid such bubbles and crashes. In the experiment, subjects were given the opportunity to trade in a stock market modeled after the seminal work of Smith et al. (1988). To account for the increasing importance of online betting sites, subjects were also allowed to trade in a digital option market. The outcomes shed new light on how subjects form and update their expectations, placing special emphasis on the bounded rationality of investors. Various analytical bubble measures found in the literature are collected, calculated, classified and presented for the first time. The very interesting new bubble measures "Dispersion Ratio", "Overpriced Transactions" and "Underpriced Transactions" are developed, making the book an important step towards the research goal of preventing bubbles and crashes in financial markets. In addition, the book formulates concrete new research hypotheses for future studies.

Author : Donald Rapp
Publisher : Copernicus
Page : 274 pages
File Size : 50,9 Mb
Release : 2009-06-02
Category : Science
ISBN : 0387876294

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Bubbles, Booms, and Busts by Donald Rapp Pdf

This book provides a thorough explanation of the nature and history of booms, bubbles and busts in financial markets. The first part of the book deals with financial booms and bubbles and how they emerge, develop and collapse. It describes the distribution of wealth, inflation, rationality of bankers, monetary and fiscal policy, the role of central banks, tax policies, social security, US federal, state, municipal and personal debt, and valuation of common stocks. The book describes historical boom/bust cycles including bubbles of the 1720s, the Florida land boom and the stock market in the 1920s, the depression of the 1930s, the S&L scandal of the 1980s, the great bull market of 1982-1995, the crash of 1987, the dot.com mania of 1995-2000, corporate swindles of the 1990s and 2000s, the sub-prime fiasco of the 2000s, and Japan in the late 20th century. Most of the recent wealth generation has derived from increased debt and appreciation of paper assets. The architects of the new economics were Ronald Reagan and Arthur Greenspan. Inevitably, the US Government’s cure for excessive spending and inadequate revenues is to increase spending and cut revenues. American voters must choose between “tax and spend” Democrats and “spend and borrow” Republicans. The theme of American finance was uttered by VP Cheney: “Deficits don’t matter”.

Author : Peter M. Garber
Publisher : MIT Press
Page : 180 pages
File Size : 49,7 Mb
Release : 2001-08-24
Category : Business & Economics
ISBN : 0262571536

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Famous First Bubbles by Peter M. Garber Pdf

The jargon of economics and finance contains numerous colorful terms for market-asset prices at odds with any reasonable economic explanation. Examples include "bubble," "tulipmania," "chain letter," "Ponzi scheme," "panic," "crash," "herding," and "irrational exuberance." Although such a term suggests that an event is inexplicably crowd-driven, what it really means, claims Peter Garber, is that we have grasped a near-empty explanation rather than expend the effort to understand the event. In this book Garber offers market-fundamental explanations for the three most famous bubbles: the Dutch Tulipmania (1634-1637), the Mississippi Bubble (1719-1720), and the closely connected South Sea Bubble (1720). He focuses most closely on the Tulipmania because it is the event that most modern observers view as clearly crazy. Comparing the pattern of price declines for initially rare eighteenth-century bulbs to that of seventeenth-century bulbs, he concludes that the extremely high prices for rare bulbs and their rapid decline reflects normal pricing behavior. In the cases of the Mississippi and South Sea Bubbles, he describes the asset markets and financial manipulations involved in these episodes and casts them as market fundamentals.