Dynamic Models and Their Applications in Emerging Markets

Sima Motamen-Samadian

140 pages, parution le 29/09/2005

Ajouter à une liste

Indisponible

Résumé

This book provides new insights into the application of dynamic models to emerging markets. Each chapter focuses on a different topic and examines the behaviour of financial and economic variables in a large number of emerging economies in Eastern Europe, Latin America and Asia. The studies reveal the most appropriate model specifications that should be used in analysing the behaviour of variables such as interest rates in both emerging and non-emerging markets, banks' credit and default risk, sovereign bond risk, inflation, external debt and growth in emerging markets. The results have important implications for pricing of securities in financial markets and strategy of banks and other financial institutions and policy makers.

This book is valuable for all those working on financial markets and emerging economies, in particular those who are working on dynamic models at universities, financial institutions, central banks, and other national and international agencies.

L'auteur - Sima Motamen-Samadian

Sima Motamen-Samadian is a Principal Lecturer in Economics and Director of the Centre for the Study of Emerging Markets (CSEM) at the Westminster Business School, UK. She obtained her MA and PhD in Economics from Essex University, and worked at the Tehran University, City University Business School, and Portsmouth University. She has co-edited International Debt and Central Banking in the 1980's with Z. Rez (Macmillan 1987), Emerging Markets: Past and Present Experiences, and Future Prospects with C. Garido (Palgrave Macmillan 2000), and edited Dynamic Models and Their Application in Emerging and Global Markets (Palgrave Macmillan 2005), Capital Flows and Direct Foreign Investments In Emerging Markets (Palgrave Macmillan 2005), Risk Management in Emerging Markets and Governance and Risk Management in Emerging and Global Markets.

Sommaire

List of Figures
List of Tables
Preface
Acknowledgements
Notes on the Contributors
Introduction
Continuous Time Dynamic Modelling of Interest Rates in Emerging Markets
Excess Credit Risk and Banks' Default Risk: An Application of Default Prediction
Models to Banks in Emerging Market Economies
Modelling Long Memory and Risk Premia in Latin American Sovereign Bond Markets
Econometric Modelling of the Euro Using Two-Factor Continuous Time Dynamic Interest Rate Models
Inflation Targeting in Emerging Economies: A Comparative Sacrifice Ratio Analysis
External Debt Dynamics and Growth: A Neo-Keynesian Perspective
Index

Voir tout

Replier

Caractéristiques techniques

	PAPIER
Éditeur(s)	Palgrave
Auteur(s)	Sima Motamen-Samadian
Parution	29/09/2005
Nb. de pages	140
Format	14 x 22,5
Couverture	Relié
Poids	317g
Intérieur	Noir et Blanc
EAN13	9781403991522
ISBN13	978-1-4039-9152-2