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Tables of Contents for Asset Prices, Booms and Recessions
Chapter/Section Title
Page #
Page Count
Introduction
1
8
Part I. Money, Bonds and Economic Activity
1 Money, Bonds and Interest Rates
9
8
1.1 Introduction
9
1
1.2 Some Basics
9
1
1.3 Macroeconomic Theories of the Interest Rate
10
3
1.4 Monetary Policy and Interest Rates
13
1
1.5 Monetary Policy and Asset Prices
14
1
1.6 Conclusions
15
2
2 Term Structure of Interest Rates
17
10
2.1 Introduction
17
1
2.2 Definitions and Theories
17
2
2.3 Empirical Tests on the Term Structure
19
5
2.4 Conclusions
24
3
Part II. The Credit Market and Economic Activity
3 Theories on Credit Market, Credit Risk and Economic Activity
27
22
3.1 Introduction
27
1
3.2 Perfect Capital Markets: Infinite Horizon and Two Period Models
27
8
3.2.1 Infinite Horizon Model
29
2
3.2.2 A Two Period Model
31
4
3.3 Imperfect Capital Markets: Some Basics
35
2
3.4 Imperfect Capital Markets: Microtheory
37
3
3.5 Imperfect Capital Markets: Macrotheory
40
2
3.6 Imperfect Capital Markets: The Micro-Macro Link
42
6
3.7 Conclusions
48
1
4 Empirical Tests on Credit Market and Economic Activity
49
30
4.1 Introduction
49
1
4.2 Bankruptcy Risk and Economic Activity
49
6
4.2.1 Introduction: Measurement Problems
49
3
4.2.2 Some Empirical Results
52
1
4.2.3 Conclusions
53
2
4.3 Liquidity and Economic Activity in a Threshold Model
55
8
4.3.1 Introduction
55
3
4.3.2 A Simple Model
58
4
4.3.3 Conclusions
62
1
4.4 Estimations of Credit Risk and Sustainable Debt
63
12
4.4.1 Introduction
63
2
4.4.2 The Dynamic Model
65
3
4.4.3 Estimating the Parameters
68
3
4.4.4 Testing Sustainability of Debt
71
4
4.5 Conclusions
75
4
Part III. The Stock Market and Economic Activity
5 Approaches to Stock Market and Economic Activity
79
10
5.1 Introduction
79
1
5.2 The Intertemporal Approach
80
2
5.3 The Excess Volatility Theory
82
2
5.4 Heterogenous Agents Models
84
1
5.5 The VAR Methodology
85
2
5.6 Regime Change Models
87
1
5.7 Conclusions
88
1
6 Macro Factors and the Stock Market
89
8
6.1 Introduction
89
1
6.2 A Dynamic Macro Model
90
3
6.3 Empirical Results
93
2
6.4 Conclusions
95
2
7 New Technology and the Stock Market
97
8
7.1 Introduction
97
1
7.2 Some Facts
97
2
7.3 The Model
99
3
7.4 Conclusions
102
3
Part IV. Asset Pricing and Economic Activity
8 Portfolio Theory: CAPM and Extensions
105
8
8.1 Introduction
105
1
8.2 Portfolio Theory and CAPM: Simple Form
105
5
8.3 Portfolio Theory and CAPM: Generalizations
110
1
8.4 Conclusions
111
2
9 Consumption Based Asset Pricing Models
113
12
9.1 Introduction
113
1
9.2 Present Value Approach
113
1
9.3 Asset Pricing with a Stochastic Discount Factor
114
3
9.4 Derivation of some Euler Equations
117
3
9.4.1 Continuous Time Euler Equation
117
2
9.4.2 Discrete Time Euler Equation: 2-Period Model
119
1
9.4.3 Discrete Time Euler Equation: n-Period Model
119
1
9.5 Consumption, Risky Assets and the Euler Equation
120
4
9.6 Conclusions
124
1
10 Production Based Asset Pricing Models
125
10
10.1 Introduction
125
2
10.2 Stylized Facts
127
1
10.3 The Baseline RBC Model
128
1
10.4 Asset Market Restrictions
129
2
10.5 Conclusions
131
4
Part V. Foreign Exchange Market, Financial Instability and Economic Activity
11 Balance Sheets and Financial Instability
135
6
11.1 Introduction
135
1
11.2 The Economy-wide Balance Sheets
136
1
11.3 Households' Holding of Financial Assets
137
2
11.4 Shocks and Financial Market Reactions
139
1
11.5 Conclusions
140
1
12 Exchange Rate Volatility and Financial Crisis
141
16
12.1 Introduction
141
1
12.2 Stylized Facts
142
1
12.3 The Standard Exchange Rate Overshooting Model
143
4
12.4 Exchange Rates, Balance Sheets and Multiple Equilibria
147
2
12.5 Imperfect Capital Markets, Exchange Rates and Multiple Equilibria
149
4
12.6 Exchange Rates, Endogenous Credit Cost and Multiple Equilibria
153
3
12.7 Conclusions
156
1
13 Some Policy Conclusions
157
6
References
163
10
Index
173