Capital market dynamics and prices 資本市場の動態と価格
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著者
書誌事項
- タイトル
-
Capital market dynamics and prices
- タイトル別名
-
資本市場の動態と価格
- 著者名
-
池田, 新介
- 著者別名
-
イケダ, シンスケ
- 学位授与大学
-
大阪大学
- 取得学位
-
博士 (経済学)
- 学位授与番号
-
乙第7310号
- 学位授与年月日
-
1997-09-18
注記・抄録
博士論文
目次
- Contents / p1 (0006.jp2)
- 1 Introduction / p5 (0010.jp2)
- I Wealth Dynamics / p8 (0013.jp2)
- 2 Consumer Interdependence and Dynamics / p9 (0014.jp2)
- 2.1 Introduction / p9 (0014.jp2)
- 2.2 Intertemporal Consumption Choices under Consumption Externalities / p11 (0016.jp2)
- 2.3 Equilibrium Dynamics:A Simple Case / p18 (0023.jp2)
- 2.4 Equilibrium Dynamics:A General Case / p26 (0031.jp2)
- 2.5 Conclusion and Future Research / p31 (0036.jp2)
- 2.6 Appendix for Chapter2 / p32 (0037.jp2)
- 3 Habits,Costly Investment,and Current Account Dynamics / p38 (0043.jp2)
- 3.1 Introduction / p38 (0043.jp2)
- 3.2 The Model / p40 (0045.jp2)
- 3.3 Effects of Macroeconomic Disturbances / p45 (0050.jp2)
- 3.4 Welfare Implications / p54 (0059.jp2)
- 3.5 Conclusion / p57 (0062.jp2)
- II Bubbles / p61 (0066.jp2)
- 4 Fundamentals-Dependent Bubbles in Stock Prices / p62 (0067.jp2)
- 4.1 Introduction / p62 (0067.jp2)
- 4.2 Bubbles and Fundamental Prices in a Random Dividend Model / p64 (0069.jp2)
- 4.3 The Stability,Volatility,and Dynamics of Price Bubbles / p70 (0075.jp2)
- 4.4 Partial Crashes and Stochastic Process Switching / p76 (0081.jp2)
- 4.5 Conclusions / p79 (0084.jp2)
- 4.6 Appendix for Chapter4 / p81 (0086.jp2)
- 5 Fundamentals Uncertainty,Bubbles,and Exchange Rate Dynamics / p87 (0092.jp2)
- 5.1 Introduction / p87 (0092.jp2)
- 5.2 The Model and Its Solutions / p89 (0094.jp2)
- 5.3 Stochastic Dynamics of the Speculative Exchange Rate / p92 (0097.jp2)
- 5.4 Multiple Fundamentals / p98 (0103.jp2)
- 5.5 Discussion / p101 (0106.jp2)
- 5.6 Conclusions / p104 (0109.jp2)
- 5.7 Appendix for Chapter5 / p105 (0110.jp2)
- III Asset Pricing / p120 (0125.jp2)
- 6 The Continuous-Time APT with Diffusion Factors and Rational Expectations:A Synthesis / p121 (0126.jp2)
- 6.1 Introduction / p121 (0126.jp2)
- 6.2 A Multi-Factor Asset Pricing Model / p123 (0128.jp2)
- 6.3 Arbitrage Determination of Risk Premia / p124 (0129.jp2)
- 6.4 Arbitrage Asset Valuation / p126 (0131.jp2)
- 6.5 Conclusion / p133 (0138.jp2)
- 6.6 Appendix for Chapter6 / p133 (0138.jp2)
- 7 Arbitrage Asset Pricing under Exchange Risk / p138 (0143.jp2)
- 7.1 Introduction / p138 (0143.jp2)
- 7.2 Arbitrage Asset Pricing with Exchange Risk Hedging / p139 (0144.jp2)
- 7.3 A Comparison with Solnik's IAPT / p143 (0148.jp2)
- 7.4 Conclusions / p145 (0150.jp2)
- 8 An Intertemporal Capital Asset Pricing Model with Stochastic Differential Utility / p148 (0153.jp2)
- 8.1 Introduction / p148 (0153.jp2)
- 8.2 The Model / p150 (0155.jp2)
- 8.3 Aggregate Consumption,the Market Portfolio,and Capital Asset Pricing / p153 (0158.jp2)
- 8.4 Stochastic Properties of Optimal Consumption / p157 (0162.jp2)
- 8.5 Conclusions / p157 (0162.jp2)
- 9 Optimal Consumption and Asset Pricing under Market Incompleteness:A Simple Approach / p161 (0166.jp2)
- 9.1 Introduction / p161 (0166.jp2)
- 9.2 The Model / p163 (0168.jp2)
- 9.3 Transformation / p163 (0168.jp2)
- 9.4 Discussions / p167 (0172.jp2)
- 9.5 Conclusions / p170 (0175.jp2)
- 9.6 Appendix for Chapter9 / p171 (0176.jp2)
