語系:
繁體中文
English
說明(常見問題)
回圖書館首頁
手機版館藏查詢
登入
回首頁
切換:
標籤
|
MARC模式
|
ISBD
A Macro-Finance Treatise on Systemic...
~
Lamichhane, Sujan.
FindBook
Google Book
Amazon
博客來
A Macro-Finance Treatise on Systemic Risk.
紀錄類型:
書目-電子資源 : Monograph/item
正題名/作者:
A Macro-Finance Treatise on Systemic Risk./
作者:
Lamichhane, Sujan.
出版者:
Ann Arbor : ProQuest Dissertations & Theses, : 2018,
面頁冊數:
183 p.
附註:
Source: Dissertations Abstracts International, Volume: 79-12, Section: A.
Contained By:
Dissertations Abstracts International79-12A.
標題:
Applied Mathematics. -
電子資源:
https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10816692
ISBN:
9780438027053
A Macro-Finance Treatise on Systemic Risk.
Lamichhane, Sujan.
A Macro-Finance Treatise on Systemic Risk.
- Ann Arbor : ProQuest Dissertations & Theses, 2018 - 183 p.
Source: Dissertations Abstracts International, Volume: 79-12, Section: A.
Thesis (Ph.D.)--Cornell University, 2018.
This item is not available from ProQuest Dissertations & Theses.
Systemic risk in the macro-finance context has garnered significant interest relatively recently and our understanding of it is limited. Systemic risk is a broad term used to describe economic and financial system breakdown. Its characterization can depend on the sources being explored. Fully understanding its nature is imperative, especially if we want to understand the causes and consequences of big economic meltdowns like the 2007-2009 financial crisis. Policies designed without proper understanding of systemic risk are likely to be either ineffective or have unforeseen ramifications. Thus, there is a need for a variety of models that explore different aspects of systemic risk. The first chapter of this dissertation studies systemic risk as it relates to financial innovation in a stationary equilibrium. The second chapter studies the transition dynamics aspect. Since these two chapters are based on the same underlying economic model, they are jointly introduced and concluded. In these chapters a heterogeneous agents model in continuous time, driven by jump-diffusion processes, is developed. Methods from the theory of Levy Processes and Feynman Path Integral are introduced. This approach allows for analytically exploring various properties of systemic risk. We derive explicit expressions of the financial sector's failure probability, its capital position at the random time of credit event, and the transition densities of the leverage and financial wealth distributions. We show that financial innovation can either increase or decrease systemic risk under some conditions. We characterize the notion of a leverage trap -- once the economy moves to high leverage systemic risk states, it tends to stay there. Financial innovation amplifies credit cycles. Transition speed increases (decreases) when the economy is leveraging up (deleveraging). The third chapter studies how asset price bubbles, market liquidity, and trading constraints affect systemic risk. We build an equilibrium model with heterogeneous agents in which market liquidity is modeled as a stochastic quantity impact from trading on the price. We introduce a different framework for analyzing rational asset price bubbles, which are shown to exist in equilibrium due to heterogeneous beliefs, heterogeneous preferences, and binding trading constraints. Positive price bubbles are larger in illiquid markets and when trading constraints are more binding. A realization of systemic risk, defined as the risk of market failure due to an exogenous shock to the economy, results in a significant loss of wealth as agents are unable to meet their trading constraints and default. Systemic risk is shown to increase as: (i) the fraction of agents seeing an asset price bubble increases, (ii) as the market becomes more illiquid, and (iii) as trading constraints are relaxed.
ISBN: 9780438027053Subjects--Topical Terms:
1669109
Applied Mathematics.
Subjects--Index Terms:
Asset price bubbles
A Macro-Finance Treatise on Systemic Risk.
LDR
:04247nmm a2200421 4500
001
2278304
005
20210628074955.5
008
220723s2018 ||||||||||||||||| ||eng d
020
$a
9780438027053
035
$a
(MiAaPQ)AAI10816692
035
$a
(MiAaPQ)cornellgrad:10842
035
$a
AAI10816692
040
$a
MiAaPQ
$c
MiAaPQ
100
1
$a
Lamichhane, Sujan.
$3
3556681
245
1 0
$a
A Macro-Finance Treatise on Systemic Risk.
260
1
$a
Ann Arbor :
$b
ProQuest Dissertations & Theses,
$c
2018
300
$a
183 p.
500
$a
Source: Dissertations Abstracts International, Volume: 79-12, Section: A.
500
$a
Publisher info.: Dissertation/Thesis.
500
$a
Advisor: Jarrow, Robert A.;Hong, Yongmiao.
502
$a
Thesis (Ph.D.)--Cornell University, 2018.
506
$a
This item is not available from ProQuest Dissertations & Theses.
506
$a
This item must not be sold to any third party vendors.
520
$a
Systemic risk in the macro-finance context has garnered significant interest relatively recently and our understanding of it is limited. Systemic risk is a broad term used to describe economic and financial system breakdown. Its characterization can depend on the sources being explored. Fully understanding its nature is imperative, especially if we want to understand the causes and consequences of big economic meltdowns like the 2007-2009 financial crisis. Policies designed without proper understanding of systemic risk are likely to be either ineffective or have unforeseen ramifications. Thus, there is a need for a variety of models that explore different aspects of systemic risk. The first chapter of this dissertation studies systemic risk as it relates to financial innovation in a stationary equilibrium. The second chapter studies the transition dynamics aspect. Since these two chapters are based on the same underlying economic model, they are jointly introduced and concluded. In these chapters a heterogeneous agents model in continuous time, driven by jump-diffusion processes, is developed. Methods from the theory of Levy Processes and Feynman Path Integral are introduced. This approach allows for analytically exploring various properties of systemic risk. We derive explicit expressions of the financial sector's failure probability, its capital position at the random time of credit event, and the transition densities of the leverage and financial wealth distributions. We show that financial innovation can either increase or decrease systemic risk under some conditions. We characterize the notion of a leverage trap -- once the economy moves to high leverage systemic risk states, it tends to stay there. Financial innovation amplifies credit cycles. Transition speed increases (decreases) when the economy is leveraging up (deleveraging). The third chapter studies how asset price bubbles, market liquidity, and trading constraints affect systemic risk. We build an equilibrium model with heterogeneous agents in which market liquidity is modeled as a stochastic quantity impact from trading on the price. We introduce a different framework for analyzing rational asset price bubbles, which are shown to exist in equilibrium due to heterogeneous beliefs, heterogeneous preferences, and binding trading constraints. Positive price bubbles are larger in illiquid markets and when trading constraints are more binding. A realization of systemic risk, defined as the risk of market failure due to an exogenous shock to the economy, results in a significant loss of wealth as agents are unable to meet their trading constraints and default. Systemic risk is shown to increase as: (i) the fraction of agents seeing an asset price bubble increases, (ii) as the market becomes more illiquid, and (iii) as trading constraints are relaxed.
590
$a
School code: 0058.
650
4
$a
Applied Mathematics.
$3
1669109
650
4
$a
Economics.
$3
517137
650
4
$a
Finance.
$3
542899
653
$a
Asset price bubbles
653
$a
Financial innovation/financial sector
653
$a
Heterogeneous agents
653
$a
Market liquidity
653
$a
Systemic risk
653
$a
Transition dynamics
690
$a
0364
690
$a
0501
690
$a
0508
710
2
$a
Cornell University.
$b
Economics.
$3
3341359
773
0
$t
Dissertations Abstracts International
$g
79-12A.
790
$a
0058
791
$a
Ph.D.
792
$a
2018
793
$a
English
856
4 0
$u
https://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=10816692
筆 0 讀者評論
館藏地:
全部
電子資源
出版年:
卷號:
館藏
1 筆 • 頁數 1 •
1
條碼號
典藏地名稱
館藏流通類別
資料類型
索書號
使用類型
借閱狀態
預約狀態
備註欄
附件
W9430037
電子資源
11.線上閱覽_V
電子書
EB
一般使用(Normal)
在架
0
1 筆 • 頁數 1 •
1
多媒體
評論
新增評論
分享你的心得
Export
取書館
處理中
...
變更密碼
登入