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Financial Risk: Theory, Evidence and Implications

Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis. Auflage…
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Titel: Financial Risk: Theory, Evidence and Implications

ISBN: 0898382432
EAN: 9780898382433
Proceedings of the Eleventh Annual Economic Policy Conference of the Federal Reserve Bank of St. Louis.
Auflage 1989.
Book.
Sprache: Englisch.
Herausgegeben von Courtenay Stone
Springer Netherlands

31. Oktober 1988 - gebunden - 248 Seiten

Beschreibung

The Federal Reserve Bank held its Eleventh Annual Economic Policy Conference on November 14 and 15, 1986. The topic of the conference was Financial Risk: Theory, Evidence and Implications; this volume contains the papers and discussants' comments that were presented at this conference. As the reader will note, these papers cover the broad aspects of financial risk, from some key general concepts to specific domestic and international financial risk problems. And, of equal importance, they provide some interesting insights into reasons for the continuing turmoil in domestic and international financial markets that we have witnessed in recent years. ix I RISK: A GENERAL OVERVIEW 1 DIFFERENCES OF OPINION IN FINANCIAL MARKETS Hal R. Varian The standard models of financial markets such as the Sharpe-Lintner mean­ variance model or the Rubinstein-Breeden-Litzenberger contingent con­ sumption model both assume more-or-Iess homogenous probability beliefs.! There has been some work on extending the mean-variance model to allow for differences in beliefs across agents; see Jarrow (1980), Lintner (1969), Mayshar (1983), and Williams (1977). Differences in beliefs in contingent commodities models have received much less attention. The major references are Rubinstein (1975, 1976a), Breeden and Litzenberger (1978), Hakansson et al. (1982), and Milgrom and Stokey (1982).

Inhaltsverzeichnis

I Risk: A General Overview.- 1 Differences of Opinion in Financial Markets.- Commentary by V. V. Chari.- 2 Risk, Exchange Market Intervention, and Private Speculative Behavior in a Small Open Economy.- Commentary by Charles I. Plosser.- II Risk: A Domestic Overview.- 3 Risk and the Economy: A Finance Perspective.- Commentary by A mold Zellner.- 4 Management versus Economic Conditions as Contributors to the Recent Increase in Bank Failures.- Commentary by George G. Kaufman.- III Risk: An International Overview.- 5 Empirical Assessment of Foreign Currency Risk Premiums.- Commentary by Maurice Obstfeld.- 6 Country Risk and the Structure of International Financial Intermediation.- Commentary by Thomas D. Willett.
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