Economic uncertainty, instabilities & asset bubbles : selected essays / [A.G. Malliaris].

Format:

Book

Author/Creator:

Malliaris, A. G.

Language:

English

Subjects (All):

Business cycles.

Financial crises.

Physical Description:

1 online resource (373 p.)

Other Title:

Economic uncertainty, instabilities and asset bubbles

Place of Publication:

Singapore ; Hackensack, NJ ; London : World Scientific Pub., c2005.

Language Note:

English

Summary:

The compendium of papers in this volume focuses on aspects of economic uncertainty, financial instabilities and asset bubbles.Economic uncertainty is modeled in continuous time using the mathematical techniques of stochastic calculus. A detailed treatment of important topics is provided, including the existence and uniqueness of asymptotic economic growth, the modeling of inflation and interest rates, the decomposition of inflation and its volatility, and the extension of the quantity theory of money to allow for randomness.The reader is also introduced to the methods of chaotic dynamics, and

Contents:

Preface and Acknowledgments; Contents; Economic Uncertainty: An Overview; Economic Growth and Uncertainty; 1. Asymptotic Growth under Uncertainty: Existence and Uniqueness; 2. How Big is the Random Walk in Macroeconomic Time Series: Variance Ratio Tests; 3. An Empirical Investigation Among Real Monetary and Financial Variables; Stochastic Macroeconomic Models; 4. Interest Rates and Inflation: A Continuous-time Stochastic Approach; 5. Decomposition of Inflation and Its Volatility: A Stochastic Approach; 6. Several Illustrations of the Quantity Theory of Money: 1947-1987 and 1867-1975

7. Money Inflation and Interest Rates: Illustrations from Twelve European EconomiesRandomness in Asset Markets; 8. Methodological Issues in Asset Pricing: Random Walk or Chaotic Dynamics; 9. Chaotic Behavior in Prices of European Equity Markets: A Comparative Analysis of Major Economic Regions; 10. European Stock Market Fluctuations: Short and Long Term Links; 11. Multi-Fractality in Foreign Currency Markets; Asset Bubbles; 12. Are There Rational Bubbles in the U.S. Stock Market? Overview and a New Test; 13. Is the Federal Reserve Stock Market Bubble-Neutral?

14. How Did the Fed React to the 1990s Stock Market Bubble? Evidence From an Extended Taylor Rule15. Monetary Policy and the U.S. Stock Market; Crashes and Instabilities; 16. The International Crash of October 1987: Causality Tests; 17. The Impact of the Persian Gulf Crisis on National Equity Markets; 18. Oil and World Stock Markets' Reactions to the Gulf Crisis; 19. Equity and Oil Markets Under External Shocks; 20. Global Monetary Instability: The Role of the IMF the EU and NAFTA

Notes:

Description based upon print version of record.

Includes bibliographical references.

ISBN:

9786611881184

9781281881182

128188118X

9789812701015

981270101X