Microeconomic Risk Management and Macroeconomic Stability

Online-Ressource (digital)

Lecture Notes in Economics and Mathematical Systems ; 625

Includes bibliographical references (p. 133-144)

Microeconomic Risk Management and Macroeconomic Stability; Part I Preliminary Explorations; 1 Introduction; 1.1 Literature Review and Motivation; 1.1.1 Why Should Firms Hedge?; 1.1.2 How Much Do Firms Hedge?; 1.2 Outline; Part II A Micro View: Optimal Risk Management; 2 Backwardation and Optimal Hedging Demand in an Expected Utility Hedging Model; 2.1 Introduction; 2.2 The Expected Utility Hedging Model; 2.2.1 Optimal Long Hedging; 2.2.2 Hedging Costs and Optimal Hedging; 2.3 Empirical Investigation; 2.3.1 Data and Summary Statistics

2.3.2 Vector Autoregression and Vector Error Correction Analysis2.4 Discussion; 3 Mean-Variance Versus Minimum-Variance Hedging; 3.1 Introduction; 3.2 The Mean-Variance Approach to Hedging; 3.2.1 The Model; 3.2.2 Optimal Hedging; 3.2.3 Pure Hedging and Speculative Demand; 3.2.4 The Value of the Futures Market; 3.3 Minimum-Variance Hedging and Hedging Effectiveness; 3.3.1 Deriving the Pure Hedge; 3.3.2 Hedging Effectiveness and Correlation; 3.3.3 Optimal Hedge Ratios by Linear Regression; 3.4 Discussion; Part III A Macro View: Economic Stability

4 Corporate Risk Management in Balance-Sheet Triggered Currency Crises4.1 Introduction; 4.2 The Basic Mundell-Fleming-Tobin Model; 4.2.1 The Goods Market; 4.2.2 The Financial Markets; 4.2.3 The Multiple Equilibria MFT Model; 4.3 Linear Hedging and Speculation in the MFT Model; 4.3.1 The Hedging Methodology and the Investment Function; 4.3.2 Speculation and the Investment Function; 4.3.3 Simulation of the Basic Model; 4.3.4 Simulation of Hedging Activity; 4.3.5 Simulation of Speculation; 4.3.6 The Role of Trading Costs: Forwards Versus Futures; 4.4 A Nonlinear Hedging Strategy Using Options

4.4.1 Options Hedging and Investment4.4.2 Simulation of Options Hedging; 4.4.3 Linear Versus Nonlinear Hedging Strategies; 4.5 Economic Implications; 4.5.1 Corporate Hedging and Economic Stability; 4.5.2 Capital Flight and Private Asset Allocation; 4.6 Discussion; 5 Arbitrage Pressure, Positive Feedback Speculation, Selective Hedging, and Economic Stability: An Empirical Analysis and Catastrophe Modelling; 5.1 Introduction; 5.2 Arbitrage Pressure and Noise Trading; 5.2.1 Arbitrage with Transaction Costs; 5.2.2 Arbitrage with Holding Costs; 5.2.3 Noise, Positive Feedback Trading, and Herding

5.3 Vector Autoregression Analysis of Futures Trading Activity5.3.1 Data; 5.3.2 Speculation Versus Hedging; 5.3.3 Long Versus Short Speculation; 5.4 Logistic Smooth Transition Regression Analysis of Long Speculation; 5.4.1 The LSTR Model; 5.4.2 Testing Linearity Against LSTR; 5.4.3 Estimation Results; 5.4.3.1 AUD - Speculation Dynamics; 5.4.3.2 CHF - Speculation Dynamics; 5.4.3.3 EUR - Speculation Dynamics; 5.4.3.4 JPY - Speculation Dynamics; 5.4.3.5 MXP - Speculation Dynamics; 5.4.4 Misspecification Tests; 5.5 A Catastrophe Theory Approach

5.5.1 The Cusp Catastrophe Model and Underlying Hypotheses

10.1007/978-3-642-01565-6 [DOI]

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