Asset Prices,Booms and Recessions

Overview

The book studies the interaction of the financial market, economic activity and the macroeconomy from a dynamic perspective. The financial market 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 ...
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Overview

The book studies the interaction of the financial market, economic activity and the macroeconomy from a dynamic perspective. The financial market 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 book is not only useful for researchers and practitioners in the field of financial engineering, but is also very useful for researchers and practitioners in economics.

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Product Details

  • ISBN-13: 9783540004325
  • Publisher: Springer-Verlag New York, LLC
  • Publication date: 8/28/2003
  • Pages: 175
  • Product dimensions: 6.56 (w) x 9.48 (h) x 0.62 (d)

Table of Contents

Introduction 1
Pt. I Money, Bonds and Economic Activity
1 Money, Bonds and Interest Rates 9
2 Term Structure of Interest Rates 17
Pt. II The Credit Market and Economic Activity
3 Theories on Credit Market, Credit Risk and Economic Activity 27
4 Empirical Tests on Credit Markets and Economic Activity 49
Pt. III The Stock Market and Economic Activity
5 Approaches to Stock Market and Economic Activity 79
6 Macro Factors and the Stock Market 89
7 New Technology and the Stock Market 97
Pt. IV Asset Pricing and Economic Activity
8 Portfolio Theory: CAPM and Extensions 105
9 Consumption Based Asset Pricing Models 113
10 Production Based Asset Pricing Models 125
Pt. V Foreign Exchange Market, Financial Instability and Economic Activity
11 Balance Sheets and Financial Instability 135
12 Exchange Rate Volatility and Financial Crisis 141
13 Some Policy Conclusions 157
References 163
Index 173
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  • Anonymous

    Posted April 30, 2004

    Excellent and Intense

    No one who has lived through the last ten years can not have realized how tightly the economy has become coupled to the financial marketplace. Prof. Semmler has gone beyond that realization and has undertaken to examine the actual mechanics by which it occurs. In this excellent and intense introduction, current macroeconomic-financial models are explored; the reader will quickly appreciate how asset price booms and subsequent recessions actually work. Semmler¿s style is ¿to the point¿ and his enthusiasm for his subject is contagious. Anyone with an advanced undergraduate understanding of economics, as well as financial professionals, and scientists and engineers with a curiosity about macroeconomics and the financial marketplace will thoroughly enjoy this book.

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