The global financial crisis has sent shockwaves through the world’s economies, and its effects have been deep and wide-reaching. This book brings together a range of applied studies, covering a range of international and regional experience in the area of finance in the context of the global downturn.
The volume includes an exploration of the impact of the crisis on capital markets, and how corporate stakeholders need to be more aware of the decision-making processes followed by corporate executives, as well as an analysis of the policy changes instituted by the Fed and their effects. Other issues covered include research into the approach of solvent banks to toxic assets, the determinants of US interest rate swap spreads during the crisis, a new approach for estimating Value-at-Risk, how distress and lack of active trading can result in systemic panic attacks, and the dynamic interactions between real house prices, consumption expenditure and output. Highlighting the global reach of the crisis, there is also coverage of recent changes in the cross-currency correlation structure, the costs attached to global banking financial integration, the interrelationships among global stock markets, inter-temporal interactions between stock return differential relative to the US and real exchange rate in the two most recent financial crises, and research into the recent slowdown in workers’ remittances.
This book was published as a special issue of Applied Financial Economics.
Table of Contents
1. Introduction: The Global Financial Crisis: Introduction and Overview M. P. Taylor 2. What were They Thinking? Reports from Interviews with Senior Finance Executives in the Lead-Up to the GFC L. Coleman and S. Pinder 3. How Did the Fed Do? An Empirical Assessment of the Fed’s New Initiatives in the Financial Crisis A. Mamun, M. K. Hassan and M. Johnson 4. The Put Problem with Buying Toxic Assets L. Wilson 5. Global Financial Crisis and US Interest Rate Swap Spreads T. Ito 6. Were there Warning Signals from Banking Sectors for the 2008/2009 Global Financial Crisis? J. L. Simpson 7. Extreme Value Modelling for Forecasting Market Crisis Impacts X. Zhao, C. Scarrott, L. Oxley and M. Reale 8. The Correlation Structure of FX Option Markets Before and Since the Financial Crisis G. Chalamandaris and A. E. Tsekrekos 9. Global Capital Market Interdependence and Spillover Effect of Credit Risk: Evidence from the 2007–2009 Global financial crisis W. Cheung, S. Fung and S.-C. Tsai 10. A simple model of trading and Pricing Risky Assets Under Ambiguity: Any Lessons for Policymakers? M. Guidolin and F. Rinaldi 11. Comparing the Performance of Relative Stock Return Differential and Real Exchange Rate in Two Financial Crises D. K. T. Wong and K.-W. Li 12. Permanent and Transitory Dynamics in House Prices and Consumption: Some Implications for the Real Effects of the Financial Crisis F. C. Bagliano and C. Morana 13. Another Consequence of the Economic Crisis: A Decrease in Migrants’ Remittances I. Ruiz and C. Vargas-Silva
Mark P. Taylor, University of Warwick, UK.
Richard H. Clarida, Columbia University, USA.