Carl Chiarella, Peter Flaschel, Reiner Franke

Financial Markets and the Macroeconomy

A Keynesian Perspective

• Gebundenes Buch

Produktbeschreibung

The financial instability and its spillover to the real sector have become a great challenge to macro-economic theory. The book takes a Keynesian theoretical perspective, representing an attempt to revive what Keynes stressed in his General Theory, namely the role of the financial market in macroeconomic outcomes. Although this book is inspired and motivated by the Asian currency and financial crises in the years 1997-8 and the experiences of the currently evolving U.S. financial disruptions, it also focuses on reviving a modeling tradition that provides a theoretical framework that throws light on recent financial market episodes and disturbances and their macroeconomic effects. It brings to the forefront, as Keynes has suggested, the role of financial market stability for growth and macroeconomics. It criticizes theories that see economic disruptions and shocks rooted solely in the real side of the economy. It stresses the financial real interaction as the major source for macroeconomic instability and disruptions. This important new book from a group of Keynesian, but nonetheless technically oriented economists would be of most interest to specialists and graduate students in macroeconomics and financial economics, especially those with an interest in US and European financial markets, emerging market analysis, and dynamic economic modeling.

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Produktdetails

• Verlag: Routledge
• Seitenzahl: 514
• Erscheinungstermin: 22. Mai 2009
• Englisch
• Abmessung: 240mm x 161mm x 32mm
• Gewicht: 933g
• ISBN-13: 9780415771009
• ISBN-10: 0415771005
• Artikelnr.: 26984825

Autorenporträt

Carl Chiarella is a Professor at the University of Technology, Sydney, Australia. He is author of Commerce, Complexity and Evolution, 2000. Peter Flaschel is Professor Emeritus at Bielefeld University, Germany. He is co-author, with Carl Chiarella, of Dynamics of Keynesian Monetary Growth, 2001. . Reiner Franke is a Lecturer at the University of Kiel, Germany. W illi Semmler is a Professor at the New School University, New York City, USA. He is the editor of Monetary Policy and Unemployment, published by Routledge in 2005.

Inhaltsangabe

I Real-Financial Market Interaction: Baseline Approaches
1. Price Dynamics and the Macroeconomy
1.1 Introduction
1.2 Keynesian AD-AS Analysis
1.3 References (to be adjusted)
2. Stock Market and the Macroeconomy
2.1 Introduction
2.2 The Blanchard Model
2.3 Analysis of the Blanchard Model
2.4 The Jump Variable Technique
2.5 Conclusions
2.6 References
2.7 Appendix: Some Observations
3. Bond Market
Term Structure and the Macroeconomy
3.1 Introduction
3.2 The Modelm
3.3 Instability and the Jump Variable Technique
3.4 Alternatives to the Jump Variable Technique
3.5 Conclusions
3.6 References
4. Financial Markets in Open Economies
4.1 Introduction
4.2 Exchange Rate Dynamics in the IS-LM-PC-Model: Level-form Formulation
4.3 Exchange Rate Dynamics in the IS-LM-PC-Model: Loglinear Analysis
4.4 Rational Expectations in Open Economy IS-LM-PC Dynamics
4.5 References
5. Stock Market and Exchange Rates
II Stock Market Dynamics and the Macroeconomy: Some Extensions
6. Output and Stock Market Dynamics with State-dependent Financial Market Reactions
6.1 Introduction
6.2 The Model
6.3 Analysis of the Model
6.4 State-of-Market Dependent Reaction Speed - An Alternative to the JVT
6.5 Conclusions
6.6 References
6.7 Appendix: Relaxing Perfection
7. Real-FinancialMarket Interaction: Implications of Budget Equations and Capital Accumulation
7.1 Introduction
7.2 The Blanchard Model with Instrinsic Stock-Flow Dynamics
7.3 Intensive Form of the Model
7.4 Analysis
7.5 Jump-variable Coundums
7.6 References
7.7 Appendix: Adding the Dynamics of the Government Budget Contraint
8. A Stochastic Model of the Real Financial Interaction with Boundedly Rational Heterogeneous Agents
8.1 Introduction
8.2 Model
8.3 Heterogeneous Expectations
8.4 Analysis of the Deterministic Skeleton
8.5 Analysis of the Nonlinear Stochastic Model
8.6 Conclusion
8.7 Appendix
9. A High-Dimensional Model of Real Financial Market Interaction: The Cascade of Stable Matrices Approach
9.1 Introduction
9.2 Formulation of the Model
9.3 The Model in Intensive Form
9.4 Subdynamics in the Real and Financial Sector
9.5 Local Stability Analysis of the Full 7D Dynamics
9.6 Conclusion
10. Stock Market
Interest Rate and Output: A Model and Estimation for US Time Series Data
10.1 Introduction
10.2 Stylized Facts and Macromodels
10.3 A Generalized Blanchard Model
10.4 The Dynamics of the Model
10.5 Discrete Time Form for Observable Variables
10.6 Empirical Results for US Time Series Data
10.7 Stochastic Simulations and Impulse Response Functions
10.8 Conclusions
10.9 Appendix 1: Stability Analysis of the Blanchard Model
10.10 Appendix 2: The Characteristic Equation of the Generalized Blanchard Model
III Exchange Rate
Dynamics Capital Flows and Currency Crises
11. Capital Account and Government Budget Dynamics in Perfect Open Economies
11.1 Introduction
11.2 The Basic One-Good Monetary Model of International Commodity Trade
11.3 The Monetary Adjustment Process
11.4 The Two-Commodity Extension
11.5 The Perfectly Open Economy: Basic and Advanced Fomulations
11.6 Twin Deficits and PPP / UIP Driven Price Dynamics
11.7 Active Fiscal and Monetary Policy in the Perfect Open Economy
11.8 Conclusions
12. Twin Deficits and Inflation in the Mundell-Fleming-Tobin Model
12.1 Introduction
12.2 Temporary Equilibrium
12.3 The Six Economic Regimes of the Model
12.4 Twin Deficits and Price Level Dynamics under Fixed and Floating Exchange Rates
12.5 Capital Account and Inflation with Interest and Exchange Rate Pegs
12.6 Overshooting Exchange Rate Dynamics
12.7 Conclusions
13. Financial Crisis
Currency Crisis and Large Output Loss
13.1 Introduction
13.2 Stylized Facts
13.3 The Basic Model
13.4 Budget Restrictions and National Accounting
13.5 Dynamics Under Flexible Exchange Rates
13.6 Currency Crisis in a Fixed Exchange Rate Regime
13.7 Conclusions
13.8 References
14. Emerging Market Economies
Currency Crisis and Price Level Adjustment
14.1 Introduction
14.2 The Basic Model
14.3 Local Stability Analysis
14.4 Currency Crises in a Pegged Exchange Rate System
14.5 Currency Crisis and Hedging
14.6 Adding Wage and Price Dynamics
14.7 Stability Analysis
14.8 The Dynamics of a Currency Crisis in the Extended Model
14.9 Conclusions and Outlook
14.10 Appendix 1: Balance of Payments Adjustment Processes
14.11 Appendix 2: Empirical Results
15. Outlook: International Capital Flows in the MFT Approach
15.1 Introduction
15.2 Integrating International Capital Flows into the MFT Approach
15.3 Real-Financial Disequilibrium Dynamics: Some Basic Results
15.4 Capital Flight
Global Players and the Emergence of Currency Crises
15.5 Conclusions and Outlook