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Essays in Financial Economics by Rita Biswas,Michael Michaelides Pdf
This volume, dedicated to John W. Kensinger, explores a variety of topics in financial economics, including firm growth, investment risks, and the profitability of the banking industry. With its global perspective, Essays in Financial Economics is a valuable addition to the bookshelf of any researcher in finance.
This collection of articles and papers has been organised under a limited number of specific themes in international financial economics, including balance of payment theory and policy, the activities of the IMF, Special Drawing Rights, the role of the private financial markets, and the international economic order. A unifying theme running through all the essays is that some degree of management of international financial affairs is desirable. The book has a strong policy orientation and should be of interest to students and practitioners of international financial economics alike.
Why the World Economy Needs a Financial Crash and Other Critical Essays on Finance and Financial Economics by Jan Toporowski Pdf
The essays in this volume explain the key structural features of financial inflation that give rise to financial crisis. These features include excessive reliance on finance to maintain economic activity through rising asset prices. Reliance on asset inflation induces a preoccupation with property values and a new social divide between the asset-rich and the asset-poor that undermines the culture of the welfare state. When debt can no longer be supported by cash flow from asset markets, excess debt plunges economies into economic depression.
Public Policy & Financial Economics: Essays In Honor Of Professor George G Kaufman For His Lifelong Contributions To The Profession by Evanoff Douglas D,Malliaris Anastasios G,Kaufman George G Pdf
The central goal of this volume was to assemble outstanding scholars and policymakers in the field of financial markets and institutions and have them articulate significant market developments in their particular areas of expertise during the past few decades. Not just a celebratory volume, Public Policy and Financial Economics selected internationally recognized financial economists who have worked with Professor Kaufman during his years of scholarly research, and have a combined mastery of specialized financial markets themes and, very importantly, knowledge of public policies in the areas. All 15 chapters offer unique, innovative, and exciting expositions of several critical topics in financial economics. Contents: Background on George Kaufman's Contributions to the Finance Profession: Public Policy and Financial Economics: Comments to Honor George G Kaufman (Charles L Evans) 57 Years of Banking Changes and Ideas (Alex J Pollock) Theory vs Practice — and Promise — in Banking and Financial Regulation (Harvey Rosenblum) Central Banking and Regulation: Changes Through the Years: The Changing Fortunes of Central Banking (CAE Goodhart) Financial Safety Nets: The Good, the Bad, and the Ugly (Edward J Kane) Systemic Risk: Taming the Two 800-Pound Gorillas in the Room (Charles W Calomiris) Shadowing Capital Regulation: 1986–2015 (Richard J Herring) Public Policy Issues in Financial Markets: The Fed and Structural Reforms to Reduce Interconnectedness and Promote Financial Stability (Robert A Eisenbeis) The New Failure Resolution Regulation: The Good, the Bad, and the Unknowable (Robert Bliss and Franklin Edwards ) Monetary and Other Policy Problems (Allan H Meltzer) Defining, Measuring, and Mitigating Systemic Risk at Large Insurance Companies (Richard Rosen and Thanases Plestis) Asset Bubbles and Public Policy (Douglas D Evanoff and AG Malliaris) The New Realities of Market Structure and Liquidity: Where Have We Been? Where Are We Going?(Chester Spatt) Affordable Housing Goals, the Financial Crisis, and the Efficient Market Hypothesis (Peter J Wallison) Good and Bad Lessons in Finance From New Information (Robert Litan) Readership: Financial economists, economists with a concentration on monetary activities, policymakers in the financial markets sector, and students interested in the dynamics of economics, finance, and policymaking as a research and/or career reference. Keywords: Financial Markets;Financial Policy;Resolution;Financial Economics;Regulation;Asset Bubbles;Market Structure and Liquidity;Central Banking;Financial RegulationReview:0
The first chapter studies policies designed by the European and US monetary authorities to revive the issuance of asset backed securities (ABS) after the financial crisis of late 2007. I examine how policy program announcements affected excess ABS spreads in the context of event studies, that is, I investigate how spreads of newly issued ABS changed over and above broader market spread changes during the week of an announcement. I find that announcements for both the European Central Bank's Eligible Collateral Program for Credit Provisions and the Federal Reserve's Term Asset Backed Securities Loan Facility (TALF) reduced and stabilized excess ABS spreads by late 2009. The second chapter studies the determinants of primary market spreads of fixed-rate asset and mortgage backed securities in the US, euro-area and Japanese markets, using data from 1999 to 2012. In addition to credit ratings, weighted average life to maturity and controls for time and collateral asset type variation contribute to the explained variability of ABS spreads, but proxies for liquidity such as principal amounts or number of tranches do not. I find a positive premium for tranches issued in the US marketplace than the European or the Japanese, while European and Japanese nationality originators enjoy a premium relative to US nationality originator institutions. The third chapter contributes to the study of the Forward Premium Puzzle by connecting the time series properties of the forward premium and the implied risk premiums of consumption-based models. A risk-based explanation of the puzzle under the Efficient Market Hypothesis (EMH) requires that risk and forward premiums be either stationary, or cointegrated with the same order of (fractional) integration. I document the persistence/non-stationarity of the log forward premium in exchange rates and examine the order of persistence of the implied risk premiums in three models of consumption growth risk. Using US and UK data, the habit consumption-based model of Verdelhan (2010) produces persistent risk premia with the same order of fractional integration as the GBP/USD forward premium. Moreover, the two premiums have a cointegrating relationship. These findings provide additional support to Verdelhan's model for an explanation of currency excess returns.
This dissertation is composed of three chapters that try to address questions in three different fields. In Chapter 1, I provide evidence that acquirers often pursue takeovers to catch up with competitors. This motive for takeovers leads to an important self-selection problem that is largely overlooked in previous studies, and causes downward bias in traditional estimates of takeover gains. I build a structural model to quantify this bias and measure acquirers' true takeover gains. Once estimated to match key data moments, the model produces a significantly positive takeover gain for acquirers as high as 12% of the firm value and implies a sizable bias of -16% in traditional empirical estimates. In Chapter 2, I document that high inflation predicts a decline in future real consumption and equity cash-flows, which is significantly stronger for durable than for non-durable goods. This suggests that durables is an important channel through which inflation affects long-term economic growth and asset prices. I derive and estimate an equilibrium two-good nominal economy model. The model can account for the key features of macro data, nominal bond yields and equity prices in durable and nondurable sectors. Inflation non-neutrality for durable consumption plays the key role to explain these data features. In Chapter 3, I study the impact of market competition on intermediate input quality and market share dynamics in credit rating - security issuance. In the upstream market, aggressive strategic behavior on part of credit rating agencies (CRAs) is negatively correlated with their lagged movements in market share but positively correlated with their contemporaneous movements in market share. This finding indicates that CRAs respond strategically to increasing competition by producing more "issuer-friendly" ratings. In the downstream market, investors adjust prices for credit risk but not for the effects of CRAs competition. Combining this evidence together, I conclude that policy intervention and public monitoring are necessary to restore a disciplined and well-functioning credit rating market.
