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Thermodynamic analogies in economics and finance: instability of markets

McCauley, Joseph l. - Volkswirtschaftliche Fakultät, … - 2004

Interest in thermodynamic analogies in economics is older than the idea of von Neumann to look for market entropy in liquidity, advice that was not taken in any thermodynamic analogy presented so far in the literature. In this paper we go further and use a standard strategy from trading theory...

Persistent link: https://www.econbiz.de/10005836640

Who Leads Financial Markets?

Weber, Enzo - Volkswirtschaftliche Fakultät, … - 2007

The present paper embarks on an analysis of interactions between the US and Euroland in the capital, foreign exchange, money and stock markets from 1994 until 2006. Estimating multivariate EGARCH processes for the structural financial innovations determines causality-in-variance effects and...

Persistent link: https://www.econbiz.de/10005836853

On CAPM and Black-Scholes, differing risk-return strategies

McCauley, Joseph L.; Gunaratne, Gemunu H. - Volkswirtschaftliche Fakultät, … - 2003

, namely, the capital asset pricing model (CAPM). We show here, in contrast, that the option valuation is not uniquely … determined; in particular, strategies based on the delta-hedge and CAPM provide different valuations of an option although both … hedges are instantaneouly riskfree. Second, we show explicitly that CAPM is not, as economists claim, an equilibrium theory. …

Persistent link: https://www.econbiz.de/10005837022

Corporate choice for overseas borrowings: The Indian evidence

Singh, Bhupal - Volkswirtschaftliche Fakultät, … - 2007

This paper examines the macroeconomic factors that drive the Indian corporates’ preference for overseas borrowings. Foreign borrowings by Indian corporates are characterised by a large number of companies accessing international capital markets for small size loans. The policy framework on...

Persistent link: https://www.econbiz.de/10005837530

Contagion between United States and european markets during the recent crises

Muñoz, Mª Pilar; Márquez, María Dolores; Sánchez, … - Volkswirtschaftliche Fakultät, … - 2011

The main objective of this paper is to detect the existence of financial contagion between the North American and European markets during the recent crises. To accomplish this, the relationships between the US and the Euro zone stock markets are considered, taking the daily equity prices of the...

Persistent link: https://www.econbiz.de/10009418479

Ndikimi i informacionit asimetrik në tregjet financiare

Govori, Fadil - Volkswirtschaftliche Fakultät, … - 2011

Asymmetric information is a relevant concept for studying and understanding financial markets. In this paper we discus the effect of asymmetric information on the borrower–lender relationship. The presence of asymmetric information in financial markets leads to adverse selection, moral hazard,...

Persistent link: https://www.econbiz.de/10011258396

Criza economică – un fenomen previzibil

Asavoaei, Alexandru - Volkswirtschaftliche Fakultät, … - 2012

The main aim of this paper is to emphasize the fact that the economic crisis are common phenomena. We aim to prove that these phenomena are not so unpredictable and surprising as some economists claim nowadays. We are trying to identify and disclose the pattern of a typical period of economic...

Persistent link: https://www.econbiz.de/10011258702

The choice of domestic policies in a globalized economy: Extended Version

Fischer, Justina A.V. - Volkswirtschaftliche Fakultät, … - 2012

This paper describes the socio-economic adjustment effects exerted by globalization (taking as starting points competitive pressure, sectoral shifts, and financial market contagion) and discusses their relevance for domestic policy-making. I argue that these economic pressures and the resulting...

Persistent link: https://www.econbiz.de/10011259135

Financial Instability, Uncertainty and Banks’ Lending Behaviour

Swamy, Vighneswara; S, Sreejesh - Volkswirtschaftliche Fakultät, … - 2012

Why do banks squeeze their lending activity? is an oft-repeated question during the times of financial crisis. This study examines an emerging economy’s banking system and contributes to the evolving body of literature on the topic by providing answers as to what causes the sluggish bank...

Persistent link: https://www.econbiz.de/10011259138

The dynamics of the housing market prices and the business cycle: a VAR analysis for the european monetary union.

Cinquegrana, Giuseppe - Volkswirtschaftliche Fakultät, … - 2011

Abstract The role of wealth as a determinant of household consumption choices has been thoroughly analysed by economic theory both from macro and micro perspectives; for example, the permanent life-cycle theory links long-run consumption not only to disposable income but also to the net wealth...

Persistent link: https://www.econbiz.de/10011259684

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