Asset prices, booms and recessions by Willi Semmler

By Willi Semmler

"Asset costs, Booms and Recessions" is a ebook on monetary Economics from a dynamic standpoint. It makes a speciality of the dynamic interplay of economic markets and financial task. The monetary markets to be studied the following encompasses the cash and bond marketplace, credits industry, inventory marketplace and foreign currencies marketplace. financial job is defined by way of the task of agencies, banks, families, governments and nations. The ebook indicates how financial job impacts asset costs and the monetary marketplace and the way asset costs and monetary industry volatility feed again to fiscal task. the point of interest during this publication is on theories, dynamic versions and empirical proof. Empirical purposes relate to episodes of economic instability and fiscal crises of the united states, Latin American, Asian in addition to Euro-area nations. the present model of the publication has moved to a extra large assurance of the themes in monetary economics through updating the literature within the applicable chapters. furthermore it offers a extra large remedy of latest and extra complex issues in monetary economics corresponding to foreign portfolio idea, multi-agent and evolutionary techniques, capital asset pricing past consumption-based versions and dynamic portfolio judgements. total, the e-book offers fabric that researchers and practitioners in monetary engineering want to know approximately fiscal dynamics and that economists, practitioners and coverage makers want to know concerning the monetary industry.

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Given the above informational and collateral problems 17 For more recent treatments of this issue from the perspective of information economics, see Semmler and Sieveking (1998), and Gr¨une et al. (2004) see also Bernanke, Gertler and Gilchrist (1998). A stochastic version can be found in Sieveking and Semmler (1999). 36 Chapter 3. Theories on Credit Market, Credit Risk and Economic Activity in borrowing and lending in principle there should be a different cost of credit for each economic agent.

A credit contract involves the relation between a creditor and a borrower. The first important element in this relation is that of asymmetric information. The borrower knows for what purpose the loan will be used, but the lender is less informed about the use of the loan. The borrower promises to pay back the loan with interest. The lender faces heterogeneous agents and each borrower’s promise is different. The risk of not getting the loan back depends on the borrower’s willingness to pay ability.

The external financing premium will be the lower the higher the internal equity of the borrower. 6. We thus get the above main three results. First, premium cost for external finance is inversely related to Se, the equity value of the firm. Second, there is a financing hierarchy. Third, investment is inversely related to premium cost (the lower the collateral 22 See Bernanke and Gertler (1989) and Bernanke, Gertler and Gilchrist (1998) for a multiperiod model. 42 Chapter 3. Theories on Credit Market, Credit Risk and Economic Activity the greater the cost of external finance).

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