NEW PERSPECTIVES ON ASSET PRIC

1. Auflage 2012
ISBN: 978-0-19-984433-3
Verlag: OXFORD UNIV PR

Buch, Englisch, 464 Seiten, Format (B × H): 158 mm x 241 mm, Gewicht: 948 g

This volume critically re-examines the profession's understanding of asset bubbles in light of the global financial crisis of 2007-09. It is well known that bubbles have occurred in the past, with the October 1929 crash as the most demonstrative example. However, the remarkably well-behaved performance of the US economy from 1945 to 2006, and, in particular during the Great Moderation period of 1984 to 2006, assured the economics profession and monetary policymakers that asset
bubbles could be effectively managed with little or no real economic impact. The recent financial crisis has now triggered a debate about the emergence of a sequence of repeated bubbles in the Nasdaq market, housing market, credit market and commodity markets. The Greenspan-Bernanke Federal Reserve has
followed an asymmetric approach to bubble management. This method advocates no monetary policy action during the bubble formation and growth, but a speedy response with a reduction in market rates when a bubble bursts to reduce the potential loss of output and employment. It was supported by academic research and seemed to work well until September 2008 when the financial system came close to a complete collapse.

The realities of the recent financial crisis have intensified theoretical modeling, empirical methodologies, and debate on policy issues surrounding asset price bubbles and their potentially considerable adverse economic impact if poorly managed. Choosing to take a novel approach, the editors of this book have selected five classic papers that represent accepted thinking about asset bubbles prior to the financial crisis. They also include original papers challenging orthodox thinking and
presenting new insights. A summary essay by the editors highlights the lessons learned and experiences gained since the crisis.

Zielgruppe

Academics, researchers, policymakers, and interested financial industry executives. It would be an ideal book for use in graduate level finance or economics course analyzing public policy or current issues. It could be used for an upper level undergraduate course.

Autoren/Hrsg.

Evanoff, Douglas D.

Kaufman, George G.

Malliaris, A. G.

Fachgebiete

• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Internationale Finanzmärkte
• Wirtschaftswissenschaften Volkswirtschaftslehre Internationale Wirtschaft Internationale Finanzmärkte
• Wirtschaftswissenschaften Finanzsektor & Finanzdienstleistungen Finanzkrisen
• Wirtschaftswissenschaften Volkswirtschaftslehre Finanzkrisen, Wirtschaftskrisen

Inhaltsverzeichnis

Introduction

1. New Perspectives on Asset Price Bubbles: An Overview
Douglas D. Evanoff, George G. Kaufman and A.G. Malliaris

Bubbles: Theory and Evidence

2. Churning Bubbles
Franklin Allen and Gary Gorton. Seminal research paper: The Review of Economic Studies, Volume 60 (1993).

3. Rethinking Theoretical Models of Bubbles: Reflections Inspired by the Financial Crisis and the Allen and Gorton's Paper on Churning Bubbles
Gadi Barlevy

Consequences of Bubbles Bursting

4. The Japanese Banking Crisis: Where Did it Come From and How Will it End? Takeo Hoshi and Anil K. Kashyap. Seminal research paper: NBER Macroeconomics Annual 1999, vol 14 (2000).

5. The Impact of the International Financial Crisis on Asia and the Pacific: Highlighting Monetary Policy Challenges from an Asset Price Bubble Perspective
Andrew Filardo

Bubbles and Monetary Policy

6. Monetary Policy and Asset Price Volatility
Ben Bernanke and Mark Gertler. Seminal research paper: Economic Review, Federal Reserve Bank of Kansas City (1999).

7. Monetary Policy and Asset price Volatility: Should We Refill the Bernanke-Gertler Prescription?
Kenneth N. Kuttner

Bubbles and Macroprudential Regulation

8. Towards a Macroprudential Framework for Financial Supervision and Regulation? http://www.bis.org/publ/work128.pdf
Claudio Borio. Seminal research paper: CESifo Economic Studies, Volume 49 (2003).

9. Bank Liquidity and Bubbles: Why Central Banks Should Lean Against Liquidity
Viral V. Acharya and Hassan Naqvi

Bubbles: Behavioral Explanations

10. Overconfidence and Speculative Bubbles
Jose A. Scheinkman and Wei Xiong. Seminal research paper: Journal of Political Economy, Volume 111 (2003).

11. Asset Bubbles: Insights from Behavioral Finance
Werner De Bondt

Bubbles: Keynote Presentations

12. An Old Perspective on Asset Price Bubbles Policy
William Poole

13. Struggling to Escape From 'Assumption 14'
Benjamin M. Friedman

New Ideas on Asset Price Bubbles

14. Monetary Policy and Stock Market Booms
Lawrence J. Christiano, Cosmin Ilut, Roberto Motto, and Massimo Rostagno

15. Leverage and Bubbles: The Need to Manage the Leverage Cycle
John Geanakoplos

Asset Bubbles, Central Banks and Investments

16. Asset Price Bubbles and Central Bank Policies: The Crash of the Jackson Hole Consensus
A. G. Malliaris

17. Do Bubbles Lead to Overinvestment? A Revealed Preference Approach
Robert Chirinko and Huntley Schaller

Über Autor(innen)

Malliaris, A. G.
Anastasios G. Malliaris is currently Professor of Economics and Finance and holds the Walter F. Mullady Sr. Chair in Business Administration at Loyola University Chicago. He has authored and co-authored numerous articles in financial economics in several professional journals. He has had a long interest in asset price bubbles and financial instabilities.

Evanoff, Douglas D.
Douglas D. Evanoff is a vice president and senior research advisor for banking issues at the Federal Reserve Bank of Chicago. His current research interests include asset bubbles, mortgage markets, and financial regulation. His research has been published in various journals and he has also edited a number of books addressing issues associated with financial institutions.

Kaufman, George G.
George G. Kaufman is the John Smith Professor of Finance and Economics at Loyola University Chicago. His research and teaching interests focus on the management and regulation of financial institutions and markets. He previously taught at the University of Oregon and was a visiting professor at Stanford and the University of California at Berkeley. He is the editor of the Journal of Financial Stability and a coeditor of five other journals. He is the past president of the Western Finance Association.

Douglas D. Evanoff is a vice president and senior research advisor for banking issues at the Federal Reserve Bank of Chicago. His current research interests include asset bubbles, mortgage markets, and financial regulation. His research has been published in various journals and he has also edited a number of books addressing issues associated with financial institutions.

George G. Kaufman is the John Smith Professor of Finance and Economics at Loyola University Chicago. His research and teaching interests focus on the management and regulation of financial institutions and markets. He previously taught at the University of Oregon and was a visiting professor at Stanford and the University of California at Berkeley. He is the editor of the Journal of Financial Stability and a coeditor of five other journals. He is the past president of the Western Finance Association.

Anastasios G. Malliaris is currently Professor of Economics and Finance and holds the Walter F. Mullady Sr. Chair in Business Administration at Loyola University Chicago. He has authored and co-authored numerous articles in financial economics in several professional journals. He has had a long interest in asset price bubbles and financial instabilities.

Contributors:
Viral V. Acharya is the C.V. Starr Professor of Economics in the Department of Finance at New York University's Stern School of Business, and research associate at the National Bureau of Economic Research.; Franklin Allen is the Nippon Life Professor of Finance and Economics at the Wharton School at the University of Pennsylvania and co-director of the Wharton Financial Institutions Center. He was formerly Vice Dean and Director of Wharton doctoral programs.; Gadi Barlevy is a senior economist and research advisor at the Federal Reserve Bank of Chicago, where he conducts research on labor economics, economic fluctuations, economic growth, financial economics and information economics. Prior to joining the Chicago Fed, Barlevy was an assistant professor of economics at Northwestern University and a visiting professor of economics at Tel Aviv University.; Ben Bernanke is the Chairman of the Board of Governors of the Federal Reserve System. Before his appointment as Chairman in 2006, Bernanke was Chairman of the President's Council of Economic Advisers from June 2005 to January 2006 and had been a member of the Board of Governors from 2002 to 2005.; Before his public service, Bernanke was Howard Harrison and Gabrielle Snyder Breck Professor of Economics and Public Affairs and Chairman of the economics department at Princeton University.; Werner F.M. De Bondt is a professor of finance and Director of the Richard H. Driehaus Center for Behavioral Finance at De Paul University in Chicago. Previously he was the Frank Graner Professor of Investment Management at the University of Wisconsin, Madison.; Claudio Borio is Head of the Research and Policy Analysis Section of the Monetary and Economic Department at the Bank for International Settlements (BIS).; Robert Chirinko is a professor in the Finance Department at the University of Illinois at Chicago and a research fellow at the Center for Economic Studies in Munich, Germany.; Lawrence Christiano is the Alfred W. Chase Professor of Business Institutions in the economics department of Northwestern. He is also a consultant to the Federal Reserve Banks of Chicago, Cleveland and Minneapolis, and a research associate at the National Bureau of Economic Research.; Douglas Evanoff is vice president and senior research advisor for banking issues in the economic research department at the Federal Reserve Bank of Chicago. Evanoff serves as chairman of the Chicago Fed's annual Conference on Bank Structure and Competition.; Andrew Filardo is Head of Economics for Asia and the Pacific at the Bank for International Settlements office in Hong Kong.; Benjamin Friedman is the William Joseph Maier Professor of Political Economy and formerly Chairman of the Department of Economics at Harvard University.; John Geanakoplos is the James Tobin Professor of Economics at Yale University. He was Director of the Cowles Foundation for Research in Economics from 1996 - 2005.; Mark Gertler is the Henry and Lucy Moses Professor of Economics at New York University and a Research Associate at the National Bureau of Economic Research.; Gary Gorton is the Frederick Frank Class of 1954 Professor of Management and Finance at the Yale School of Management and is a research associate at the National Bureau of Economic Research.; Takeo Hoshi is the Pacific Economic Cooperation Professor in International Economic Relations at the School of International Relations and Pacific Studies (IR/PS) and Department of Economics at the University of California at San Diego. He is also a research associate at the National Bureau of Economic Research and at the Tokyo Center for Economic Research.; Cosmin Ilut is an assistant professor of economics at Duke University. His research focuses on macroeconomics, international finance, asset pricing and the economics of information.; Anil Kashyap is the Edward Eagle Brown Professor of Economics and Finance and Richard N. Rosett Faculty Fellow at the University of Chicago Booth School of Business. He is also a consultant to the Federal Reserve Bank of Chicago and serves as a member of the Economic Advisory Panel of the Federal Reserve Bank of New York.; George Kaufman is the John Smith Professor of Finance and Economics at Loyola University Chicago.; Kenneth Kuttner is a professor of economics at Williams College and a research associate at the National Bureau of Economic Research.; Anastasios G. (Tassos) Malliaris is the Walter F. Mullady Sr. Professor of Economics and Finance in the school of Business Administration at Loyola University Chicago.; Roberto Motto is Adviser in the Monetary Policy Strategy Division at the European Central Bank. He has been working at the European Central Bank since 2000 taking up different functions. He specialises in monetary, macroeconomic, financial issues and time series analysis.; Hassan Naqvi is an assistant professor of finance at the National University of Singapore.