Macroeconomic Effects of Asset-Price Shocks in a Globalized Financial Market

2013 ◽  
Vol 116 (1) ◽  
pp. 190-217 ◽  
Author(s):  
Vincenzo Quadrini
Keyword(s):  
Financial Market ◽  
Asset Price ◽  
Price Shocks ◽  
Macroeconomic Effects

Financial Market Integration in East Asia: Regional or Global?

2006 ◽  
Vol 5 (1) ◽  
pp. 73-89 ◽  
Author(s):  
Jongkyou Jeon ◽  
Yonghyup Oh ◽  
Doo Yong Yang
Keyword(s):  
East Asia ◽  
Financial Market ◽  
Regional Integration ◽  
Market Integration ◽  
Asset Price ◽  
The United States ◽  
Market Mechanism ◽  
Global Integration ◽  
Financial Market Integration ◽  
Price Approach

This paper investigates whether financial markets in East Asia are integrated with global markets or with each other.We use two approaches: a volume-based approach and an asset price approach. Our overall results suggest global integration of these markets rather than regional integration and that there is no anchor market in the region that would match the advanced markets such as the United States. Though global integration is not a force that competes with regional integration, there seems to be no strong sign of the creation of an effective financial market mechanism in East Asia.

scholarly journals PRICING OF CONTINGENT CLAIMS IN A TWO-DIMENSIONAL MODEL WITH RANDOM DIVIDENDS

2009 ◽  
Vol 12 (08) ◽  
pp. 1091-1104 ◽  
Author(s):  
PAVEL V. GAPEEV ◽  
MONIQUE JEANBLANC
Keyword(s):  
Financial Market ◽  
Diffusion Processes ◽  
Partial Information ◽  
Asset Price ◽  
Contingent Claims ◽  
Dimensional Model ◽  
Random Drift ◽  
Brownian Motions ◽  
Risky Assets ◽  
Geometric Brownian Motions

We study a model of a financial market in which two risky assets are paying dividends with rates changing their initial values to other constant ones when certain events occur. Such events are associated with the first times at which the value processes of issuing firms, modeled by geometric Brownian motions, fall to some prescribed levels. The asset price dynamics are described by exponential diffusion processes with random drift rates and independent driving Brownian motions. We derive closed form expressions for rational values of European contingent claims, under full and partial information.

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