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Financial Economics

Опубликовано на портале: 23-10-2003
Факультет: Department of Economics
Дисциплина: Financial Economics
Год: Spring 2003
Язык: Английский
Тематические разделы: Экономика, Финансовая экономика, Финансовая экономика: Теория финансов

Курс "Financial Economics" состоит из двух частей. Часть I - "econometrics of continuous-time finance", читается профессором Принстонского университета Yacine Ait-Sahalia. Часть II - "financial crises", читается Franklin Allen, профессором этого же университета. Программа включает содержание курса, темы лекций и практических занятий, списки основной и дополнительной литературы.

Sections 1 and 2 Introduction and Historical and Recent Crises
Section 3 Banking Crises
Section 4 Currency Crises
Section 5 Bubbles and Crises
Section 6 Contagion and Financial Fragility
Sections 7 and 8 Government Policies and Crises and Conclusions

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Allen, F. and D. Gale (2000). Optimal Currency Crises, Carnegie-Rochester Series on Public Policy (December 2000).
Alen, F. and D. Gale (1999). Bubbles, Crises and Policy, Oxford Review of Economic Policy, 15, 9-18.
Allen, F. and D. Gale (2000). Bubbles and Crises, Economic Journal 110, 236-255.
Allen, F. and Gorton, G. (1993). Churning Bubbles, Review of Economic Studies 60, 813-836.
Allen, F. and D. Gale (2000). Financial Contagion, Journal of Political Economy 108, 1-33.
Allen, F. and D. Gale (2001). Financial Fragility, Wharton Financial Institutions Center Working Paper 01-37.
Allen, F. and R. Herring (2001). Banking Regulation versus Securities Market Regulation, Wharton Financial Institutions Center Working Paper 01-29.
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Bordo, M., B. Eichengreen, D. Klingeiel and M. Martinez-Peria (2000). Is the Crisis Problem Growing More Severe? working paper, University of California, Berkeley.
Calvo, G. (1999). Contagion in Emerging Markets: When Wall Street is a Carrier, Unpublished manuscript, University of Maryland.
Chang, R. and A. Velasco (1998b). Financial Crises in Emerging Markets: A Canonical Model, working paper, New York University.
Chang, R. and A. Velasco (1998a). Financial Fragility and the Exchange Rate Regime, working paper, New York University.
Chari, V. and P. Kehoe, (1999). \QTR{it}{Asking the Right Questions About the IMF}, Federal Reserve Bank of Minneapolis, 1998 Annual Report, Volume 13, May 1999.
Chari, V. and P. Kehoe (2000). Financial Crises as Herds, working paper, Federal Reserve Bank of Minneapolis.
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Feldstein, M. (1998). Refocusing the IMF, Foreign Afairs 77(March/April), 20-33.
Fischer, S. (1999). On the Need for an International Lender of Last Resort, working paper, International Monetary Fund.
Freixas, X. and B. Parigi (1998). Contagion and Efficiency in Gross and Net Interbank Payment Systems, Journal of Financial Intermediation 7, 3-31.
Freixas, X. and B. Parigi and J. Rochet (2000). Systemic Risk, Interbank Relations and Liquidity Provision by the Central Bank, Journal of Money, Credit and Banking 32, 611-38.
Friedman, M. (1998). Markets to the Rescue, The Wall Street Journal, October 13.
Gorton, G. (1988). Banking Panics and Business Cycles, Oxford Economic Papers 40,751-781.
Higgins, M. and Osler, C. (1997). Asset Market Hangovers and Economic Growth: The OECD During 1984-93, Oxford Review of Economic Policy 13, 110-134.
Holmstrom, B. and Tirole, J. (1997). Financial Intermediation, Loanable Funds, and the Real Sector, Quarterly Journal of Economics, 112, 663-691.
Jacklin, C. (1987). Demand Deposits, Trading Restrictions, and Risk Sharing, in E.Prescott and N. Walace, eds., Contractual Arrangements for Intertemporal Trade, University of Minnesota Press, Minneapolis, MN.
Kaminsky, G. and Reinhart, C. (1996). Banking and Balance-of-Payments Crises: Models and Evidence, Working paper, Board of Governors of the Federal Reserve, Washington, D.C.
Kaminsky, G. and C. Reinhart (1999). The Twin Crises: The Causes of Banking and Balance-of-Payments Problems, American Economic Review 89, 473-500.
Kindleberger, C. P. (1978). Manias, Panics, and Crashes: A History of Financial Crises,New York: Basic Books.
Kindleberger, C., (1978). Manias, Panics, and Crashes: A History of Financial Crises, Basic Books, New York, NY.
Kindleberger, C. (1991). A Financial History of Western Europe (second edition), New York: Oxford University Press.
King, M. and S. Wadhwani (1990). Transmission of Volatility Between Stock Markets, Review of Financial Studies 3, 5-33.
Kiyotaki, N. and J. Moore (1998). Credit Chains, working paper, London School of Economics, Department of Economics.
Kodres L. and M. Pritsker (2000), A Rational Expectations Model of Financial Contagion, working paper, International Monetary Fund.
Krugman, P. (1979). A Model of Balance-of-Payments Crises, Journal of Money Credit and Banking 11, 311-325.
Krugman, P. (1998). The Indispensable IMF, The New York Times, May 15.
Krugman, P. (1998), Bubble, Boom, Crash: Theoretical Notes on Asia's Crisis, working paper, MIT, Cambridge, Massachussetts.
Kyle, A. and W. Xiong (1999). Contagion as a Wealth Effect of Financial Intermediaries, working paper, Duke University, Durham, N.C.
Lagunoff, R. and S. Schreft (2001). A Model of Financial Fragility, Journal of Economic Theory 99, 220-264.
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Morris, S. and H. Shin (1998). Unique Equilibrium in a Model of Self-Fulfilling Currency Attacks, American Economic Review 88, 587-597.
Obstfeld, M. (1994). The Logic of Currency Crises, Cahiers Economiques et Monetaires, Bank of France 43, 189-213.
Rochet, J. and J. Tirole (1996a). Interbank Lending and Systemic Risk, Journal of Money, Credit and Banking 28, 733-762.
Rochet, J. and J. Tirole (1996). Controling Risk in Payment Systems, Journal of Money, Credit and Banking 28, 832-862.
Sachs, J. (1995). Do We Need an International Lender of Last Resort?' Lecture delivered at Princeton University, Princeton, N.J., April 20.
Schwartz, A. (1998). Time to Terminate the ESF and IMF, working paper, New York University.
Wilson, J., R. Sylla and C. Jones (1990). Financial Market Panics and Volatility in the Long Run, 1830-1988 in Crashes and Panics edited by E. White, Ilinois: Dow-Jones Irwin, 85-125.
Yuan, K. (2000). Asymmetric Price Movements and Borrowing Constraints: A Rational Expectations Equilibrium Model of Crisis, Contagion, and Confusion, working paper, Department of Economics, MIT.

Программа курса на сайте Принстонского университета. Часть I:

Часть II:

Ключевые слова

См. также:
Barry Eichengreen, Ricardo Hausmann
NBER Working Papers. 1998.  No. 7418.
Carmen M. Reinhart, Vincent R. Reinhart
Michael J. Piore, Charles F. Sabel
Александр Дмитриевич Андряков
Martin S. Feldstein
Foreign Affairs. 1998.  Vol. 77. No. 2.
Christopher W. Anderson, Terry L. Campbell II
Journal of Corporate Finance. 2004.  Vol. 10. No. 3. P. 327-354.