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Transferable System Of Financial Asset And Research Of Market Equilibrium: Model And Empirical Study

Posted on:2004-07-05Degree:DoctorType:Dissertation
Country:ChinaCandidate:X Y YaoFull Text:PDF
GTID:1116360122970049Subject:Probability theory and mathematical statistics
Abstract/Summary:PDF Full Text Request
In the late 20th, with the reform of the international exchange rate system and the less control on the financial management, the separation state of the financial market has been broken down gradually. The price adjustment in one subsidiary market will be transferred to the others by the open-market operations of the central bank and the profit-making actions of the investors (or speculators), this will in turn causes certain price adjustment of other assets, and finally the market equilibrium can be achieved. This kind of innovation tendency will show influence not only on the methods and the medium goal of monetary policy of the central bank, but also on the actions of the investors in the market. So more systemic researches on the transferable system of financial asset and market equilibrium will be of great practical and theoretical importance.This article analyzed the price formation and its influence channel at three levels by financial theory and statistical method. At the first level, the influence of the monetary policy on the price of currency which takes interest rate and exchange rate as its central variables is illustrated, emphases are placed on the influence channel and the impact during the system transmission period under the open-economy conditions; at the second level, the author analyzed the mutual influence between interest rate and exchange rate and placed emphasis on the equilibrium of the above two central variables when the management differentials (or control methods differentials) exists in the market in the open economy; at the third level, through the influence of the changes of interest rate and exchange rate and other information on the price of the general financial assets, the author tried to analyze the transferable system of price at different levels and the formation of equilibrium. At the same time, made amen dements and promotions to the price equation and the conclusions.This article can be divided into four parts: the first part(chapterl,2) analyzed the transferable channel of interest and exchange rate, the principle of general price transferable system and the formation of equilibrium of transferable system of general price and the formation of equilibrium of them in the money market, capital market and foreign exchange market. The second part (chapters,4) probes transferable system of the security an bond price from theoretical and practical aspects. In chapter3, information is divided into two basic types, the marginal equation of bond price and short-term interest variations is established, thus the security price variations and the price equilibrium of other assets (risk security non-risk security are included) are analyzed by the implement of portfolio Theory. Finally the bond value equation which takes equilibrium return as itsyield Parameter is established through the theory of comparative return. In chapter 4, the intra-information and the transferable system of price is emphasized and the market-maker model and expected model under non-perfect information market conditions are established, and the disaccord of the influence of extra-information and intra-information on the security price is discussed. In the third part (chapter 5,6) is the analysis of the equilibrium of interest rate, exchange rate, foreign exchange option and forward exchange option. In chapter 5. the marginal equation of exchange and interest with continual variations is established, and the exchange option pricing equation based on Markov processions when interest are discontinuous is given. In chapter 6, based on the restrictions of the traditional interest rate parity equation, that is, the too restrict risk neutralization, the infinite elasticity of funds supply and the clean flotation of exchange rate, the exchange rate equation under finite elasticity conditions is established, the author also probes the relations between the exchange rate and interest rate, the equilibrium of exchange rate under target zone management conditions during the system transmission period. The fo...
Keywords/Search Tags:interest rate, exchange rate, transferable system of price, stochastic process, price equilibrium.
PDF Full Text Request
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