PDF Ebook Option Trading and Oil Futures Markets
Submitted by antoq on Sat, 11/14/2009 - 07:35The establishment, of a very successTu1 crude oil futures market by the New York Mercantile Exchange (NYMEX) has introduced a new and important factor into the process of oil price formation. Trading in crude oil Tutures has been expanding very rapidly and now provides an instrument that enables economic agents to hedge against short-term price risks. The NYMEX is also a reading mechanism ior oil price discovery in the short term.
However, as is the case for most tutures markets, NYMEA contracts extend over a rr’airly short time horizon (eighteen months in theory hut only Tour months in practice), and there is a lack of fiexibiiity prevailing once a hedge has been initiated ( a price is rigidly fixed from then on no matter what the market does afterwards).
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Ebook Consumption Volatility and the Cross-Section of Stock Returns
Submitted by puput on Sat, 12/31/2011 - 08:49The question what door should investors care about? remains central in Asset Pricing and a variety of models continue to provide alternative answers. Investment opportunities are risky and investors face multiple sources of financial and macroeconomic risks that they should hedge themselves against when constructing their portfolios. This paper provides and supports the evidence that long-term investors care not only about variation between future and present consumption levels, but also and perhaps mostly about variation between future and present macroeconomic uncertainties.
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Ebook Macroeconomic Uncertainty and Asset Prices: A Stochastic Volatility Model
Submitted by puput on Sat, 12/31/2011 - 08:26Time-varying macroeconomic uncertainty is an important ingredient for asset valuation. When there is a great deal of uncertainty about how an economy will evolve overtime, this state is likely to be reflected in asset prices because financial markets demand premiums for bearing such non-diversifiable risk. The recent episode of financial crisis in 2008 shows that this is indeed a key link between macro variables and asset markets. However, the previous studies using macroeconomic models to explain asset prices did not pay much attention to this channel of generating risk premiums.
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Ebook The Endogeneity of the Optimum Currency Area Criteria
Submitted by puput on Sat, 12/31/2011 - 02:55Countries considering whether to enter the proposed European Economic and Monetary Union (EMU) weigh the potential benefits of joining the currency union against the inevitable costs. Joining a currency union brings benefits such as a reduction in the transactions costs associated with trading goods and services between countries with different moneys.
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Ebook Monetary Policy and Business Cycles with Endogenous Entry and Product Variety
Submitted by puput on Sat, 12/31/2011 - 02:18Since the mid 1980s, a large body of literature has developed in which monetary policy is analyzed in micro founded, dynamic, stochastic, general equilibrium (DSGE) models of the business cycle with monopolistic competition and nominal rigidity. The importance of this New Keynesian literature (summarized, for instance, by Woodford, 2003) for policy making is evidenced by the current use of such models by many central banks or international institutions as input for policy decisions. Most of this literature, however, relies on monopolistic competition merely as a vehicle to introduce price (or wage) setting power and then assume that price (or wage) setting is not frictionless, resulting in nominal rigidity and a role for monetary policy.
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Ebook The Performance of State-Owned Enterprises and Newly Privatized Firms: Empirical Evidence from Egypt?
Submitted by puput on Fri, 12/30/2011 - 07:38Privatization has been a major phenomenon over the past few decades, and researchers continue to target it for both theoretical and empirical work. Given that most socialist and communist economies from every region in the world Eastern Europe, the ex-Soviet Union, China, Latin America, Africa, and the Middle East- have recently started implementing economic reform programs, the reduction in size of the public sector through privatization has therefore become an important part of such programs.
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Ebook Financial Reforms, Globalization, and Corporate Borrowing: International Evidence
Submitted by puput on Fri, 12/30/2011 - 07:20In the past decade, the financial sector has undergone large transformations in most countries around the world. Perhaps the most important factor behind these changes was the enactment of financial liberalization policies. These policies, including market deregulation, privatization of financial intermediaries, strengthening financial sector supervision and regulation, and reduction of barriers to international capital flows, were aimed at increasing the scope for market forces to operate in credit markets, thereby reducing the cost of credit or increase its availability.
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Ebook A Global Derivatives Framework for Banks to centrally Manage & Hedge Market Risks in Financial System
Submitted by puput on Fri, 12/30/2011 - 03:28Banks have always been central to the financial system in any economy, and by virtue of their role, they are the prime and undoubtedly the most prominent entities to centrally control the risk exposures existing in the financial system. The risks that I refer to here are primarily Market Risk and Credit Risk that exist because of the un-hedged exposures of Banks, Financial Institutions, corporate, and other customers towards the corresponding underlying rate.
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Ebook Co-movements in EU banks' fragility: a dynamic factor model approach
Submitted by puput on Fri, 12/30/2011 - 02:32The aim of this paper is to analyse co-movements in the fragility of EU-15 banks and verify to which extent such co-movements have increased in time, following, for example, the completion of Monetary Union and the introduction of the euro.
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Ebook Managerial Entrenchment and Corporate Bond Financing: Evidence from Japan
Submitted by puput on Thu, 12/29/2011 - 08:41Concentrated ownership provides shareholders with incentives to monitor managers, and to exercise influence over decision-making within the firm. Such controlling shareholders tend to entrench managers against other corporate governance mechanisms to pursue their own interests, and enjoy private benefits of control.
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