The thesis consists of two essays: "The CAPM -- A General Equilibrium Foundation" and "The Foreign Exchange Rate in Financial Markets".The Capital Asset Pricing Model (CAPM) is one of the most successful models for portfolio selection. The utility functions are assumed to depend positively on...

The transmission of monetary and fiscal policies in an international context is one of the most prominent topics in the realm of international finance. In particular, researchers are interested in the effects of the respective policy on exchange rate movements, international price level...

In der vorliegenden Arbeit beschäftige ich mich mit der theoretischen Analyse von Geld- und Fiskalpolitik in Currency-Board-Systemen und der Währungsunion. Beide Währungssysteme haben seit den neunziger Jahren zunehmend an Bedeutung gewonnen, Currency Boards durch die Rückgewinnung der...

A regime-switching model for analysis of market integration has been developed that incorporates rate of trade information. An application of the methods to United States–China soybean trade demonstrates that the extended trade information allows better interpretation of market conditions....

Replaced with revised version of paper 07/29/09.

This paper produces evidence in support of the existence of common risk factors in the US andUK interest rate swap markets. Using a multivariate smooth transition autoregression (STVAR)framework, we show that the dynamics of the US and UK swap spreads are best described by aregime-switching...

This work develops asymptotically optimal dividend policies to maximize the expected present value of dividends until ruin. Compound Poisson processes with regime switching are used to model the surplus and the switching (a continuous-time controlled Markov chain) represents random environment...

Nowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is...