Financial Volatility and Real Economic Activity

Download Financial Volatility and Real Economic Activity PDF Online Free

Author :
Publisher : Routledge
ISBN 13 : 0429852142
Total Pages : 145 pages
Book Rating : 4.4/5 (298 download)

DOWNLOAD NOW!


Book Synopsis Financial Volatility and Real Economic Activity by : Kevin Daly

Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 145 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.

Essays on Financial Market Volatility and Real Economic Activity

Download Essays on Financial Market Volatility and Real Economic Activity PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 130 pages
Book Rating : 4.:/5 (922 download)

DOWNLOAD NOW!


Book Synopsis Essays on Financial Market Volatility and Real Economic Activity by : Sang Yup Choi

Download or read book Essays on Financial Market Volatility and Real Economic Activity written by Sang Yup Choi and published by . This book was released on 2015 with total page 130 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies how financial market volatility or uncertainty in the U.S. economy affects real economic activity both in the U.S. and other open economies. Chapter 1 critically examines a stylized fact about the effects of uncertainty shocks on the U.S. economy. A link between uncertainty and firms' investment, hiring, and production decisions has drawn much attention in contemporary discussions after the 2008 financial crisis. Bloom (2009) showed that uncertainty events, identified by spikes in stock market volatility, triggered immediate falls in output and employment, followed by rapid rebounds. I show that such stock market volatility shocks failed to produce this same pattern of responses after 1983. Chapter 2 studies the effects of risk aversion shocks, measured by increases in the VIX, on emerging market economies (EMEs). By estimating a structural vector autoregression (VAR) model, I find that, although risk aversion shocks do not have much impact on U.S. output, they do have a noticeable impact on the output of EMEs. To explain the contrast between the impact of risk appetite shocks on EMEs and the impact on the U.S. economy, a credit channel is proposed as a propagation mechanism. In the model, an increase in the VIX is translated to a risk-aversion shock that generates a "flight to quality." As international investors pull their money from EMEs, borrowing costs increase and domestic credit falls as a consequence of credit market imperfections. Higher borrowing costs, in turn, lead to a fall in investment that causes a real depreciation and a decline in total output through sectoral linkages. Finally, Chapter 3, which is co-authored with Prakash Loungani, studies the effect of uncertainty shocks on unemployment dynamics by separating out the role of aggregate and sectoral channels. Using SP500 data from the first quarter of 1963 through the third quarter of 2014, we construct a separate index to measure sectoral uncertainty and compare its effects on the unemployment rate with that of aggregate uncertainty in a standard VAR model, augmented by a local projection method. We find that aggregate uncertainty shocks lead to an immediate increase in unemployment, followed by swift reversals. In contrast, sectoral uncertainty shocks have a long-lasting impact on unemployment, with the peak impact occurring after two years. Our findings highlight an additional channel through which uncertainty shocks have persistent effects on unemployment by requiring substantial inter-industry labor reallocation.

Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity

Download Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 80 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity by : Karen E. Dynan

Download or read book Can Financial Innovation Help to Explain the Reduced Volatility of Economic Activity written by Karen E. Dynan and published by . This book was released on 2005 with total page 80 pages. Available in PDF, EPUB and Kindle. Book excerpt: The stabilization of economic activity in the mid 1980s has received considerable attention. Research has focused primarily on the role played by milder economic shocks, improved inventory management, and better monetary policy. This paper explores another potential explanation: financial innovation. Examples of such innovation include developments in lending practices and loan markets that have enhanced the ability of households and firms to borrow and changes in government policy such as the demise of Regulation Q. We employ a variety of simple empirical techniques to identify links between the observed moderation in economic activity and the influence of financial innovation on consumer spending, housing investment, and business fixed investment. Our results suggest that financial innovation should be added to the list of likely contributors to the mid-1980s stabilization.

Asset Prices, Booms and Recessions

Download Asset Prices, Booms and Recessions PDF Online Free

Author :
Publisher : Springer Science & Business Media
ISBN 13 : 3642206808
Total Pages : 327 pages
Book Rating : 4.6/5 (422 download)

DOWNLOAD NOW!


Book Synopsis Asset Prices, Booms and Recessions by : Willi Semmler

Download or read book Asset Prices, Booms and Recessions written by Willi Semmler and published by Springer Science & Business Media. This book was released on 2011-06-15 with total page 327 pages. Available in PDF, EPUB and Kindle. Book excerpt: The financial market melt-down of the years 2007-2009 has posed great challenges for studies on financial economics. This financial economics text focuses on the dynamic interaction of financial markets and economic activity. The financial market to be studied here encompasses the money and bond market, credit market, stock market and foreign exchange market; economic activity includes the actions and interactions 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 and crises impact economic activity. The book offers extensive coverage of new and advanced topics in financial economics such as the term structure of interest rates, credit derivatives and credit risk, domestic and international portfolio theory, multi-agent and evolutionary approaches, capital asset pricing beyond consumption-based models, and dynamic portfolio decisions. Moreover a completely new section of the book is dedicated to the recent financial market meltdown of the years 2007-2009. Emphasis is placed on empirical evidence relating to episodes of financial instability and financial crises in the U.S. and in Latin American, Asian and Euro-area countries. Overall, the book explains what researchers and practitioners in the financial sector need to know about the financial-real interaction, and what practitioners and policy makers need to know about the financial market.

Stock Volatility During the Recent Financial Crisis

Download Stock Volatility During the Recent Financial Crisis PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (732 download)

DOWNLOAD NOW!


Book Synopsis Stock Volatility During the Recent Financial Crisis by : G. William Schwert

Download or read book Stock Volatility During the Recent Financial Crisis written by G. William Schwert and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading.

Financial Volatility and Real Economic Activity

Download Financial Volatility and Real Economic Activity PDF Online Free

Author :
Publisher : Routledge
ISBN 13 : 0429852134
Total Pages : 140 pages
Book Rating : 4.4/5 (298 download)

DOWNLOAD NOW!


Book Synopsis Financial Volatility and Real Economic Activity by : Kevin Daly

Download or read book Financial Volatility and Real Economic Activity written by Kevin Daly and published by Routledge. This book was released on 2019-01-15 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt: Published in 1999. The issue of financial volatility, especially since financial deregulation, has given rise to concerns regarding the effects of increased financial volatility on real economic activity. Two issues represent a substantial challenge to financial economists with respect to these concerns. The first relates to the identification of the causes of increased volatility in financial markets. Identification is a first step towards increasing both financial economists' and policy-makers' understanding of the interrelated causes of financial volatility. The second requires linking the effects of increased financial volatility to the real sector of the economy by examining the channels through which financial volatility influences fundamental economic variables. In order to address these two issues, the analysis initially develops and estimates a model which is capable of explaining the financial and business cycle determinates of movements in the conditional volatility of the Australian All Industrials stock market index. Evidence suggests that a significant linkage exists between the conditional volatility of the money supply. Models are then developed to examine how monetary volatility is transmitted to the volatility of financial asset prices, inflation and real output in an open economy. The results indicate that while financial volatility has increased to some extent since the late 1980s, this has been transferred non-uniformly towards increasing volatility of both real and financial activity.

Beast on Wall Street

Download Beast on Wall Street PDF Online Free

Author :
Publisher : Pearson
ISBN 13 :
Total Pages : 166 pages
Book Rating : 4.:/5 (321 download)

DOWNLOAD NOW!


Book Synopsis Beast on Wall Street by : Robert A. Haugen

Download or read book Beast on Wall Street written by Robert A. Haugen and published by Pearson. This book was released on 1999 with total page 166 pages. Available in PDF, EPUB and Kindle. Book excerpt: It is now abundantly clear that stock volatility is a contagious disease that spreads virulently from market to market around the world. Price changes in one market drive subsequent price changes in that market as well as in others. In Beast, Haugen makes a compelling case for the fact that even under normal conditions, fully 80 percent of stock volatility is price driven. Moreover, this volatility is far from benign. It acts to reduce the level of investment spending and constitutes a significant and permanent drag on economic growth. Price-driven volatility is unstable. Dramatic and unpredictable explosions in price-driven volatility can send stock markets in a downward spiral and cause significant disruptions in economic activity. Haugen argues that this indeed happened in 1929 and 1930. If volatility in Asian markets persists, it can easily become the source of the problem rather than merely a symptom.

Stock Volatility During the Recent Financial Crisis

Download Stock Volatility During the Recent Financial Crisis PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 15 pages
Book Rating : 4.:/5 (714 download)

DOWNLOAD NOW!


Book Synopsis Stock Volatility During the Recent Financial Crisis by : G. William Schwert

Download or read book Stock Volatility During the Recent Financial Crisis written by G. William Schwert and published by . This book was released on 2011 with total page 15 pages. Available in PDF, EPUB and Kindle. Book excerpt: Abstract: This paper uses monthly returns from 1802-2010, daily returns from 1885-2010, and intraday returns from 1982-2010 in the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied by option prices to infer what the market was expecting to happen in the months following the financial crisis in late 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to the prolonged periods of high volatility during the Great Depression. Similar analysis of stock volatility in the United Kingdom and Japan reinforces the notion that the volatility seen in the 2008 crisis was relatively short-lived. While there is a link between stock volatility and real economic activity, such as unemployment rates, it can be misleading

Brokers and Business Cycles

Download Brokers and Business Cycles PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 44 pages
Book Rating : 4.:/5 (318 download)

DOWNLOAD NOW!


Book Synopsis Brokers and Business Cycles by : Jörg Döpke

Download or read book Brokers and Business Cycles written by Jörg Döpke and published by . This book was released on 1998 with total page 44 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Financial Market Drift

Download Financial Market Drift PDF Online Free

Author :
Publisher : Springer Science & Business Media
ISBN 13 : 3642565816
Total Pages : 252 pages
Book Rating : 4.6/5 (425 download)

DOWNLOAD NOW!


Book Synopsis Financial Market Drift by : Lukas Menkhoff

Download or read book Financial Market Drift written by Lukas Menkhoff and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 252 pages. Available in PDF, EPUB and Kindle. Book excerpt: International financial markets play an increasingly important role. There can be no doubt that over the past twenty years the size of financial markets have grown at a faster pace than the size of the markets for goods and services. However, it is still unclear whether this is a desirable development. This book discusses the debate on the possible separation of the financial sector and real economy. The text makes use of established scientific research.

Asset Prices, Booms, and Recessions

Download Asset Prices, Booms, and Recessions PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 200 pages
Book Rating : 4.F/5 ( download)

DOWNLOAD NOW!


Book Synopsis Asset Prices, Booms, and Recessions by : Willi Semmler

Download or read book Asset Prices, Booms, and Recessions written by Willi Semmler and published by . This book was released on 2003 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Volatility and Growth

Download Volatility and Growth PDF Online Free

Author :
Publisher : OUP Oxford
ISBN 13 : 0191530239
Total Pages : 160 pages
Book Rating : 4.1/5 (915 download)

DOWNLOAD NOW!


Book Synopsis Volatility and Growth by : Philippe Aghion

Download or read book Volatility and Growth written by Philippe Aghion and published by OUP Oxford. This book was released on 2005-07-28 with total page 160 pages. Available in PDF, EPUB and Kindle. Book excerpt: It has long been recognized that productivity growth and the business cycle are closely interrelated. Yet, until recently, the two phenomena have been investigated separately in the economics literature. This book provides the first consistent attempt to analyze the effects of macroeconomic volatility on productivity growth, and also the reverse causality from growth to business cycles. The authors show that by looking at the economy through the lens of private entrepreneurs, who invest under credit constraints, one can go some way towards explaining persistent macroeconomic volatility and the effects of volatility on growth. Beginning with an analysis of the effects of volatility on growth, the authors argue that the lower the level of financial development in a country the more detrimental the effect of volatility on growth. This prediction is confirmed by cross-country panel regressions. The data also suggests that a fixed exchange rate regime or more countercyclical budgetary policies are growth-enhancing in countries with a lower level of financial development. The former reduce aggregate volatility whereas the latter reduce the negative effects of volatility on long-term productivity-enhancing investment by firms. The book concludes with an investigation into how the interplay between credit constraints and pecuniary externalities is sufficient to generate persistent business cycles and to explain the occurrence of currency crises.

The Role of Financial Variables in Predicting Economic Activity in the Euro Area

Download The Role of Financial Variables in Predicting Economic Activity in the Euro Area PDF Online Free

Author :
Publisher : International Monetary Fund
ISBN 13 : 1451873883
Total Pages : 37 pages
Book Rating : 4.4/5 (518 download)

DOWNLOAD NOW!


Book Synopsis The Role of Financial Variables in Predicting Economic Activity in the Euro Area by : Mr.Raphael A. Espinoza

Download or read book The Role of Financial Variables in Predicting Economic Activity in the Euro Area written by Mr.Raphael A. Espinoza and published by International Monetary Fund. This book was released on 2009-11-01 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. business cycle typically leads the European cycle by a few quarters and this can be used to forecast euro area GDP. We investigate whether financial variables carry additional information. We use vector autoregressions (VARs) which include the U.S. and the euro area GDPs as a minimal set of variables as well as growth in the Rest of the World (an aggregation of seven small countries) and selected combinations of financial variables. Impulse responses (in-sample) show that shocks to financial variables influence real activity. However, according to out-of-sample forecast exercises using the Root Mean Square Error (RMSE) metric, this macro-financial linkage would be weak: financial indicators do not improve short and medium term forecasts of real activity in the euro area, even when their timely availability, relative to GDP, is exploited. This result is partly due to the 'average' nature of the RMSE metric: when forecasting ability is assessed as if in real time (conditionally on the information available at the time of the forecast), we find that models using financial variables would have been preferred, ex ante, in several episodes, in particular between 1999 and 2002. This result suggests that one should not discard, on the basis of RMSE statistics, the use of predictive models that include financial variables if there is a theoretical prior that a financial shock is affecting growth.

Economics for Financial Markets

Download Economics for Financial Markets PDF Online Free

Author :
Publisher : Elsevier
ISBN 13 : 0080494633
Total Pages : 375 pages
Book Rating : 4.0/5 (84 download)

DOWNLOAD NOW!


Book Synopsis Economics for Financial Markets by : Brian Kettell

Download or read book Economics for Financial Markets written by Brian Kettell and published by Elsevier. This book was released on 2001-11-23 with total page 375 pages. Available in PDF, EPUB and Kindle. Book excerpt: Successful trading, speculating or simply making informed decisions about financial markets means it is essential to have a firm grasp of economics. Financial market behaviour revolves around economic concepts, however the majority of economic textbooks do not tell the full story.To fully understand the behaviour of financial markets it is essential to have a model that enables new information to be absorbed and analysed with some predictive implications. That model is provided by the business cycle. 'Economics for Financial Markets' takes the reader from the basics of financial market valuation to a more sophisticated understanding of the actions that traders take which ultimately drives the volatility in the financial markets. The author shows traders, investment managers, risk managers and finance professionals how to distil the flow of information and show what needs to be concentrated on, covering topics such as:* Why are financial markets subject to economic fashions?* How has the New Economy changed financial market behaviour? * Does the creation of the euro fundamentally change the behaviour of the currency markets? Shows how to distil the vast amount of information in financial markets and identify what is importantDemonstrates how the "New Economy" had changed financial market behaviourExplains how to follow the behaviour of central banks

Financial Markets and the Real Economy

Download Financial Markets and the Real Economy PDF Online Free

Author :
Publisher : Now Publishers Inc
ISBN 13 : 1933019158
Total Pages : 117 pages
Book Rating : 4.9/5 (33 download)

DOWNLOAD NOW!


Book Synopsis Financial Markets and the Real Economy by : John H. Cochrane

Download or read book Financial Markets and the Real Economy written by John H. Cochrane and published by Now Publishers Inc. This book was released on 2005 with total page 117 pages. Available in PDF, EPUB and Kindle. Book excerpt: Financial Markets and the Real Economy reviews the current academic literature on the macroeconomics of finance.

Uncertainty and Economic Activity

Download Uncertainty and Economic Activity PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 65 pages
Book Rating : 4.:/5 (12 download)

DOWNLOAD NOW!


Book Synopsis Uncertainty and Economic Activity by : Ambrogio Cesa-Bianchi

Download or read book Uncertainty and Economic Activity written by Ambrogio Cesa-Bianchi and published by . This book was released on 2018 with total page 65 pages. Available in PDF, EPUB and Kindle. Book excerpt: Measures of economic uncertainty are countercyclical, but economic theory does not provide definite guidance on the direction of causation between uncertainty and the business cycle. This paper proposes a new multi-country approach to the analysis of the interaction between uncertainty and economic activity, without a priori restricting the direction of causality. We develop a multi-country version of the Lucas tree model with time-varying volatility and show that in addition to common technology shocks that affect output growth, higher-order moments of technology shocks are also required to explain the cross country variations of the realized volatility of equity concerns. Using this theoretical insight, two common factors, a ‘real’ and a ‘financial’ one, are identified in the empirical analysis assuming different patterns of cross-country correlations of country-specific innovations to real GDP growth and realized stock market volatility. We then quantify the absolute and the relative importance of the common factor shocks as well as country-specific volatility and GDP growth shocks. The paper highlights three main empirical findings. First, it is shown that most of the unconditional correlation between volatility and growth can be accounted for by the real common factor, which is proportional to world growth in our empirical model and linked to the risk-free rate. Second, the share of volatility forecast error variance explained by the real common factor and by country-specific growth shocks amounts to less than 5 percent. Third, shocks to the common financial factor explain about 10 percent of the growth forecast error variance, but when such shocks occur, their negative impact on growth is large and persistent. In contrast, country-specific volatility shocks account for less than 1-2 percent of the growth forecast error variance.

Distress in the Financial Sector and Economic Activity

Download Distress in the Financial Sector and Economic Activity PDF Online Free

Author :
Publisher :
ISBN 13 :
Total Pages : 34 pages
Book Rating : 4.E/5 ( download)

DOWNLOAD NOW!


Book Synopsis Distress in the Financial Sector and Economic Activity by : Mark A. Carlson

Download or read book Distress in the Financial Sector and Economic Activity written by Mark A. Carlson and published by . This book was released on 2008 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: