Vorliegende Sprache |
eng |
Hinweise auf parallele Ausgaben |
306343509 Buchausg. u.d.T.: ‡Röthig, Andreas: Microeconomic risk management and macroeconomic stability |
ISBN |
978-3-642-01564-9 |
Name |
Röthig, Andreas |
T I T E L |
Microeconomic Risk Management and Macroeconomic Stability |
Verlagsort |
Berlin, Heidelberg |
Verlag |
Springer-Verlag Berlin Heidelberg |
Erscheinungsjahr |
2009 |
2009 |
Umfang |
Online-Ressource (digital) |
Reihe |
Lecture Notes in Economics and Mathematical Systems ; 625 |
Lecture notes in economics and mathematical systems |
Band |
625 |
Notiz / Fußnoten |
Includes bibliographical references (p. 133-144) |
Weiterer Inhalt |
Microeconomic Risk Management and Macroeconomic Stability; Part I Preliminary Explorations; 1 Introduction; 1.1 Literature Review and Motivation; 1.1.1 Why Should Firms Hedge?; 1.1.2 How Much Do Firms Hedge?; 1.2 Outline; Part II A Micro View: Optimal Risk Management; 2 Backwardation and Optimal Hedging Demand in an Expected Utility Hedging Model; 2.1 Introduction; 2.2 The Expected Utility Hedging Model; 2.2.1 Optimal Long Hedging; 2.2.2 Hedging Costs and Optimal Hedging; 2.3 Empirical Investigation; 2.3.1 Data and Summary Statistics. 2.3.2 Vector Autoregression and Vector Error Correction Analysis2.4 Discussion; 3 Mean-Variance Versus Minimum-Variance Hedging; 3.1 Introduction; 3.2 The Mean-Variance Approach to Hedging; 3.2.1 The Model; 3.2.2 Optimal Hedging; 3.2.3 Pure Hedging and Speculative Demand; 3.2.4 The Value of the Futures Market; 3.3 Minimum-Variance Hedging and Hedging Effectiveness; 3.3.1 Deriving the Pure Hedge; 3.3.2 Hedging Effectiveness and Correlation; 3.3.3 Optimal Hedge Ratios by Linear Regression; 3.4 Discussion; Part III A Macro View: Economic Stability. 4 Corporate Risk Management in Balance-Sheet Triggered Currency Crises4.1 Introduction; 4.2 The Basic Mundell-Fleming-Tobin Model; 4.2.1 The Goods Market; 4.2.2 The Financial Markets; 4.2.3 The Multiple Equilibria MFT Model; 4.3 Linear Hedging and Speculation in the MFT Model; 4.3.1 The Hedging Methodology and the Investment Function; 4.3.2 Speculation and the Investment Function; 4.3.3 Simulation of the Basic Model; 4.3.4 Simulation of Hedging Activity; 4.3.5 Simulation of Speculation; 4.3.6 The Role of Trading Costs: Forwards Versus Futures; 4.4 A Nonlinear Hedging Strategy Using Options. 4.4.1 Options Hedging and Investment4.4.2 Simulation of Options Hedging; 4.4.3 Linear Versus Nonlinear Hedging Strategies; 4.5 Economic Implications; 4.5.1 Corporate Hedging and Economic Stability; 4.5.2 Capital Flight and Private Asset Allocation; 4.6 Discussion; 5 Arbitrage Pressure, Positive Feedback Speculation, Selective Hedging, and Economic Stability: An Empirical Analysis and Catastrophe Modelling; 5.1 Introduction; 5.2 Arbitrage Pressure and Noise Trading; 5.2.1 Arbitrage with Transaction Costs; 5.2.2 Arbitrage with Holding Costs; 5.2.3 Noise, Positive Feedback Trading, and Herding. 5.3 Vector Autoregression Analysis of Futures Trading Activity5.3.1 Data; 5.3.2 Speculation Versus Hedging; 5.3.3 Long Versus Short Speculation; 5.4 Logistic Smooth Transition Regression Analysis of Long Speculation; 5.4.1 The LSTR Model; 5.4.2 Testing Linearity Against LSTR; 5.4.3 Estimation Results; 5.4.3.1 AUD - Speculation Dynamics; 5.4.3.2 CHF - Speculation Dynamics; 5.4.3.3 EUR - Speculation Dynamics; 5.4.3.4 JPY - Speculation Dynamics; 5.4.3.5 MXP - Speculation Dynamics; 5.4.4 Misspecification Tests; 5.5 A Catastrophe Theory Approach. 5.5.1 The Cusp Catastrophe Model and Underlying Hypotheses |
Titelhinweis |
Buchausg. u.d.T.: ‡Röthig, Andreas: Microeconomic risk management and macroeconomic stability |
ISBN |
ISBN 978-3-642-01565-6 |
Klassifikation |
KCBM |
KCLF |
BUS027000 |
332 |
339.5 |
HG1-9999 |
QP 300 |
QK 660 |
QK 628 |
QK 640 |
QP 360 |
Kurzbeschreibung |
While the determinants of firms’ optimal hedging strategies on the micro level are well understood, there is rarely any literature dealing with macroeconomic consequences of microeconomic risk management. This book is concerned with the impact of diverse hedging policies on macroeconomic stability. It addresses this issue by employing theoretical as well as empirical methods. |
2. Kurzbeschreibung |
Deals with the impact of diverse hedging policies on macroeconomic stability. This book addresses this issue by employing theoretical as well as empirical methods |
1. Schlagwortkette |
Unternehmen |
Hedging |
Risikomanagement |
Währungskrise |
Wirtschaftliche Stabilität |
Makroökonomie |
1. Schlagwortkette ANZEIGE DER KETTE |
Unternehmen -- Hedging -- Risikomanagement -- Währungskrise -- Wirtschaftliche Stabilität -- Makroökonomie |
2. Schlagwortkette |
Unternehmen |
Hedging |
Risikomanagement |
Währungskrise |
Wirtschaftliche Stabilität |
Makroökonomie |
ANZEIGE DER KETTE |
Unternehmen -- Hedging -- Risikomanagement -- Währungskrise -- Wirtschaftliche Stabilität -- Makroökonomie |
SWB-Titel-Idn |
311208827 |
Signatur |
Springer E-Book |
Bemerkungen |
Elektronischer Volltext - Campuslizenz |
Elektronische Adresse |
$uhttp://dx.doi.org/10.1007/978-3-642-01565-6 |
Internetseite / Link |
Volltext |
Siehe auch |
Volltext |
Siehe auch |
Inhaltsverzeichnis |
Siehe auch |
Kapitel 1 |
Siehe auch |
Cover |