The Academy of Educational Leadership Journal, 2009
INTRODUCTION AACSB International, The Association to Advance Collegiate Schools of Business is a ... more INTRODUCTION AACSB International, The Association to Advance Collegiate Schools of Business is a not-for-profit corporation of educational institutions, corporations and other organizations devoted to the promotion and improvement of higher education in business administration and management (AACSB, 2006). AACSB International has for many years; in order to fulfill this mission, focused their efforts on and developing relationships at the deans' level. The principal activity at this level being the accreditation process colleges' or universities can go through to achieve AACSB member recognition. Recently, AACSB, with the support of their deans decided to initiate programs that penetrate deeper into their members' organizations. This new effort, underway is designed to develop and support activities of interest and value to teaching faculty. The first efforts took the form of a training program provided to faculty by faculty from AACSB membership. The driving force on th...
This chapter provides a general overview of the international markets for foreign exchange (FX) a... more This chapter provides a general overview of the international markets for foreign exchange (FX) and FX derivatives as well as the theoretical relationships that tie these markets together with interest rates and central bank policies. The chapter begins by summarizing the FX markets and discussing their current size and uses. It then details and distinguishes the various markets and FX products. The chapter also examines the FX derivative markets and presents the Garman and Kohlhagen pricing model. The theoretical relationships among returns, exchange rates, and interest rates are discussed, specifically examining equilibrium conditions and the Taylor rule. The chapter concludes by reviewing several recent developments in the global currency markets.
Part 1 Overview: futures markets - why are they different? futures markets - how do prices behave... more Part 1 Overview: futures markets - why are they different? futures markets - how do prices behave financial structures - a global innovation. Part 2 Methods: Martingle methods in financial decision making Ito's calculus in financial decision making random walk versus chaotic dynamics in financial economics portfolio theory. Part 3 Agricultural futures: linkages between agricultural commodity futures contracts searching for fractal structure in agricultural futures markets volume and price relationships - hypotheses and testing for agricultural futures financial modelling - from stochastics to chaotics and back to stochastics. Part 4 Financial futures: tests of random walk of Hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies the impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge - evidence from foreign currency ratios equity and oil markets under external shocks volume and volatility in foreign currency futures markets. Part 5 Conclusions: directions for future research.
Innovative Federal Reserve Policies During the Great Financial Crisis, 2018
This chapter argues that asset price bubbles need to be re-examined carefully because their adver... more This chapter argues that asset price bubbles need to be re-examined carefully because their adverse impact on an economy has often been very substantial. The bursting of the housing bubble in 2006 and its consequences on triggering the near global financial crisis is such example. After reviewing the general literature on asset bubbles on housing and stock markets bubbles and their impacts on an economy, we contribute to the literature by proposing a fundamental housing price model that allows us to estimate the magnitude of residential housing bubbles and their starting and ending dates. The duration and the magnitude of the U.S. housing bubble in the early 2000s are estimated under alternative assumptions about the nature of forces affecting the demand for housing and housing prices.
Economists have long conjectured that movements in stock prices may involve speculative bubbles. ... more Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This paper proposes a new methodology for testing for the existence of rational bubbles. Unlike previous authors, we treat both the dividend and the bubble process as part of the state vector. The new methodology is applied to the four mature markets of the U.S., Japan, England and Germany to test whether a bubble was present during the period of January 1951 to December 1998. This paper also examines whether there are linkages between these national bubbles. We find evidence that U.S. bubbles cause bubbles in the other three markets but we find no evidence for reverse causality. Current Draft: Ju...
World Scientific-Now Publishers Series in Business, 2018
This book, Innovative Federal Policies During the Great Financial Crisis, contains discussions of... more This book, Innovative Federal Policies During the Great Financial Crisis, contains discussions of unconventional monetary policies, policy changes to address systemic and payments systems risks, new macroprudential policies, the \u27stretching\u27 of the financial safety net, changes in the Fed\u27s liquidity funding facility (the discount window), use of the Fed\u27s balance sheet as a tool of monetary policy, and alternative means to deal with real-estate asset bubbles and potential financial instability. The 10 chapters in this book offer a unique analysis of several innovative approaches by the Federal Reserve that contributed to the stabilization of the US economy following the Great Recession. What unique policies were implemented? Toward what goal? Were they effective? Were there unintended consequences? Additionally, but less thoroughly, events in the Euro market are also discussed, and policies (and their impact) of the ECB are critiqued. Based on papers presented at the 91st Annual Conference of the Western Economic Association International Meetings in Portland, Oregon, 2016, Innovative Federal Policies During the Great Financial Crisis adds significantly to the debate over why innovative or unconventional policies were needed, how they were implemented and how effective they were.https://ecommons.luc.edu/facultybooks/1179/thumbnail.jp
Capital Markets: Asset Pricing & Valuation eJournal, 2015
This paper considers the directional predictability of daily returns for both gold and silver. Th... more This paper considers the directional predictability of daily returns for both gold and silver. These two metals have had a long history behaving sometimes as complements and other times as substitutes. We use daily data from June of 2008 through February of 2015. The last 2 years were removed as a set for validation of the model and the remainder, almost 5 years, was used as training. A cluster analysis yields six important clusters. An evaluation of these clusters leads to the formation of three strategies for directional predictions – up or down—for both gold and silver returns. The results of this analysis suggest that each strategy has its own advantages: the first strategy suggests that gold returns can be predicted better than those of silver; the second strategy shows that predicting up for gold also means predicting down for silver and the final strategy confirms that predicting up for silver also validates predicting down for gold.
In this paper we argue that the stochastic paradigm of asset prices has prevented us from underst... more In this paper we argue that the stochastic paradigm of asset prices has prevented us from understanding market behavior because most of the variance of the variables of economic interest is often attributed to random shocks. One implication of the tests of the Efficient Market Hypothesis is that most of the variation in prices is due to our ignorance of the underlying structure. As an alternative to the stochastic methodology we propose an economic interpretation of the most famous chaotic map called the Lorenz system. We briefly describe the major characteristic of this chaotic system and we also use financial data for its empirical testing.
In The Global Financial Crisis, contributors argue that the complexity of the Global Financial Cr... more In The Global Financial Crisis, contributors argue that the complexity of the Global Financial Crisis challenges researchers to offer more comprehensive explanations by extending the scope and range of their traditional investigations. To achieve this, the volume views the financial crisis simultaneously through three different lenses---economic, psychological, and social values. Contributors offer a constructive methodology suitable for exploring financial crises. They recognize how current economic analysis did not prepare academic economists, business economists, traders, and regulators to anticipate economic and financial crises. So, they search more extensively within the broader discipline of economics for ideas related to crises but neglected perhaps because they were not mathematically rigorous. They affirm that the complexity of financial crises necessitates complementary research. Thus, to put the focal purpose of this book differently, they explore the Global Financial Crisis from three interconnected frameworks: the standards of orthodox economic analysis, Minskyan economics, and the role of ideas and values in economics. Values are the subject of both philosophy and psychology and can contribute to a better understanding of the Global Financial Crisis. Values, in general, have been relatively neglected by economists. This is not because there is doubt about their significance, but rather because welfare economics and collective choice still operate within the neoclassical paradigm. This volume argues that analyzing the value implications requires moving from the neoclassical framework to something that is broader and multidisciplinary. Contributors to this volume - Antonio Argandona John Boatright Graciela Chichilnisky Viktoria Dalko Werner DeBondt John Dobson Rafael Douady Paul Fitzgerald Brooke Harrington Steve Keen Lawrence R. Klein Robert Kolb Lola Lopes A.G. Malliaris John Riker S. Prakash Sethi Leslie Shaw Hersh Shefrin John Silvia Meir Statman Nassim Taleb Michael Wang Janet Yellen
The Academy of Educational Leadership Journal, 2009
INTRODUCTION AACSB International, The Association to Advance Collegiate Schools of Business is a ... more INTRODUCTION AACSB International, The Association to Advance Collegiate Schools of Business is a not-for-profit corporation of educational institutions, corporations and other organizations devoted to the promotion and improvement of higher education in business administration and management (AACSB, 2006). AACSB International has for many years; in order to fulfill this mission, focused their efforts on and developing relationships at the deans' level. The principal activity at this level being the accreditation process colleges' or universities can go through to achieve AACSB member recognition. Recently, AACSB, with the support of their deans decided to initiate programs that penetrate deeper into their members' organizations. This new effort, underway is designed to develop and support activities of interest and value to teaching faculty. The first efforts took the form of a training program provided to faculty by faculty from AACSB membership. The driving force on th...
This chapter provides a general overview of the international markets for foreign exchange (FX) a... more This chapter provides a general overview of the international markets for foreign exchange (FX) and FX derivatives as well as the theoretical relationships that tie these markets together with interest rates and central bank policies. The chapter begins by summarizing the FX markets and discussing their current size and uses. It then details and distinguishes the various markets and FX products. The chapter also examines the FX derivative markets and presents the Garman and Kohlhagen pricing model. The theoretical relationships among returns, exchange rates, and interest rates are discussed, specifically examining equilibrium conditions and the Taylor rule. The chapter concludes by reviewing several recent developments in the global currency markets.
Part 1 Overview: futures markets - why are they different? futures markets - how do prices behave... more Part 1 Overview: futures markets - why are they different? futures markets - how do prices behave financial structures - a global innovation. Part 2 Methods: Martingle methods in financial decision making Ito's calculus in financial decision making random walk versus chaotic dynamics in financial economics portfolio theory. Part 3 Agricultural futures: linkages between agricultural commodity futures contracts searching for fractal structure in agricultural futures markets volume and price relationships - hypotheses and testing for agricultural futures financial modelling - from stochastics to chaotics and back to stochastics. Part 4 Financial futures: tests of random walk of Hedge ratios and measures of hedging effectiveness for stock indexes and foreign currencies the impact of the lengths of estimation periods and hedging horizons on the effectiveness of a hedge - evidence from foreign currency ratios equity and oil markets under external shocks volume and volatility in foreign currency futures markets. Part 5 Conclusions: directions for future research.
Innovative Federal Reserve Policies During the Great Financial Crisis, 2018
This chapter argues that asset price bubbles need to be re-examined carefully because their adver... more This chapter argues that asset price bubbles need to be re-examined carefully because their adverse impact on an economy has often been very substantial. The bursting of the housing bubble in 2006 and its consequences on triggering the near global financial crisis is such example. After reviewing the general literature on asset bubbles on housing and stock markets bubbles and their impacts on an economy, we contribute to the literature by proposing a fundamental housing price model that allows us to estimate the magnitude of residential housing bubbles and their starting and ending dates. The duration and the magnitude of the U.S. housing bubble in the early 2000s are estimated under alternative assumptions about the nature of forces affecting the demand for housing and housing prices.
Economists have long conjectured that movements in stock prices may involve speculative bubbles. ... more Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This paper proposes a new methodology for testing for the existence of rational bubbles. Unlike previous authors, we treat both the dividend and the bubble process as part of the state vector. The new methodology is applied to the four mature markets of the U.S., Japan, England and Germany to test whether a bubble was present during the period of January 1951 to December 1998. This paper also examines whether there are linkages between these national bubbles. We find evidence that U.S. bubbles cause bubbles in the other three markets but we find no evidence for reverse causality. Current Draft: Ju...
World Scientific-Now Publishers Series in Business, 2018
This book, Innovative Federal Policies During the Great Financial Crisis, contains discussions of... more This book, Innovative Federal Policies During the Great Financial Crisis, contains discussions of unconventional monetary policies, policy changes to address systemic and payments systems risks, new macroprudential policies, the \u27stretching\u27 of the financial safety net, changes in the Fed\u27s liquidity funding facility (the discount window), use of the Fed\u27s balance sheet as a tool of monetary policy, and alternative means to deal with real-estate asset bubbles and potential financial instability. The 10 chapters in this book offer a unique analysis of several innovative approaches by the Federal Reserve that contributed to the stabilization of the US economy following the Great Recession. What unique policies were implemented? Toward what goal? Were they effective? Were there unintended consequences? Additionally, but less thoroughly, events in the Euro market are also discussed, and policies (and their impact) of the ECB are critiqued. Based on papers presented at the 91st Annual Conference of the Western Economic Association International Meetings in Portland, Oregon, 2016, Innovative Federal Policies During the Great Financial Crisis adds significantly to the debate over why innovative or unconventional policies were needed, how they were implemented and how effective they were.https://ecommons.luc.edu/facultybooks/1179/thumbnail.jp
Capital Markets: Asset Pricing & Valuation eJournal, 2015
This paper considers the directional predictability of daily returns for both gold and silver. Th... more This paper considers the directional predictability of daily returns for both gold and silver. These two metals have had a long history behaving sometimes as complements and other times as substitutes. We use daily data from June of 2008 through February of 2015. The last 2 years were removed as a set for validation of the model and the remainder, almost 5 years, was used as training. A cluster analysis yields six important clusters. An evaluation of these clusters leads to the formation of three strategies for directional predictions – up or down—for both gold and silver returns. The results of this analysis suggest that each strategy has its own advantages: the first strategy suggests that gold returns can be predicted better than those of silver; the second strategy shows that predicting up for gold also means predicting down for silver and the final strategy confirms that predicting up for silver also validates predicting down for gold.
In this paper we argue that the stochastic paradigm of asset prices has prevented us from underst... more In this paper we argue that the stochastic paradigm of asset prices has prevented us from understanding market behavior because most of the variance of the variables of economic interest is often attributed to random shocks. One implication of the tests of the Efficient Market Hypothesis is that most of the variation in prices is due to our ignorance of the underlying structure. As an alternative to the stochastic methodology we propose an economic interpretation of the most famous chaotic map called the Lorenz system. We briefly describe the major characteristic of this chaotic system and we also use financial data for its empirical testing.
In The Global Financial Crisis, contributors argue that the complexity of the Global Financial Cr... more In The Global Financial Crisis, contributors argue that the complexity of the Global Financial Crisis challenges researchers to offer more comprehensive explanations by extending the scope and range of their traditional investigations. To achieve this, the volume views the financial crisis simultaneously through three different lenses---economic, psychological, and social values. Contributors offer a constructive methodology suitable for exploring financial crises. They recognize how current economic analysis did not prepare academic economists, business economists, traders, and regulators to anticipate economic and financial crises. So, they search more extensively within the broader discipline of economics for ideas related to crises but neglected perhaps because they were not mathematically rigorous. They affirm that the complexity of financial crises necessitates complementary research. Thus, to put the focal purpose of this book differently, they explore the Global Financial Crisis from three interconnected frameworks: the standards of orthodox economic analysis, Minskyan economics, and the role of ideas and values in economics. Values are the subject of both philosophy and psychology and can contribute to a better understanding of the Global Financial Crisis. Values, in general, have been relatively neglected by economists. This is not because there is doubt about their significance, but rather because welfare economics and collective choice still operate within the neoclassical paradigm. This volume argues that analyzing the value implications requires moving from the neoclassical framework to something that is broader and multidisciplinary. Contributors to this volume - Antonio Argandona John Boatright Graciela Chichilnisky Viktoria Dalko Werner DeBondt John Dobson Rafael Douady Paul Fitzgerald Brooke Harrington Steve Keen Lawrence R. Klein Robert Kolb Lola Lopes A.G. Malliaris John Riker S. Prakash Sethi Leslie Shaw Hersh Shefrin John Silvia Meir Statman Nassim Taleb Michael Wang Janet Yellen
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