‘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.
Mục lục
Money, Bonds and Economic Activity.- Money, Bonds and Interest Rates.- Term Structure of Interest Rates.- The Credit Market and Economic Activity.- Theories on Credit Market, Credit Risk and Economic Activity.- Empirical Tests on Credit Market and Economic Activity.- The Stock Market and Economic Activity.- Approaches to Stock Market and Economic Activity.- Macro Factors and the Stock Market.- New Technology and the Stock Market.- Asset Pricing and Economic Activity.- Static Portfolio Theory: CAPM and Extensions.- Consumption Based Asset Pricing Models.- Asset Pricing Models with Production.- Foreign Exchange Market, Financial Instability and Economic Activity.- Balance Sheets and Financial Instability.- Exchange Rate Shocks, Financial Crisis and Output Loss.- International Portfolio and the Diversification of Risk.- Advanced Modeling of Asset Markets.- Agent Based and Evolutionary Modeling of Asset Markets.- Behavioral Models of Dynamic Asset Pricing.- Dynamic Portfolio Choice Models.- Some Policy Conclusions.
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