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Liquidity, Interest Rates and Banking
Retail Price: $195.00
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$175.50
Editors: Jeffrey Morrey and Alexander Guyton
Book Description:
Liquidity refers to the degree to which an asset or security can be bought or sold in the market without affecting the asset's price. This book provides important evidence on the changes in market liquidity following the transition to electronic trading, and highlights quite different evidence from that presented in previous studies. Liquidity is also examined across different types of markets by using execution costs as a proxy for liquidity. The links between the concept of liquidity and the role of payment systems in a globalized financial system is investigated as well. Furthermore, a survey of both the theoretical and empirical literature related to the liquidity effect as well as a survey on the ability of the term spread to predict changes in economic activity is examined. The behaviour of long-term interest rates using time-series models is looked as well. Finally, the financial risk in life annuity and pension annuity as influenced by interest rate movements is discussed.

Table of Contents:
Preface

Research and Review Studies pp.1-2

The Liquidity Effect: A Survey of the Literature pp.3-34
(Mark E. Wohar, Department of Economics, University of Nebraska at Omaha)

The Ability of the Term Spread to Predict Output Growth, Recessions, and Inflation: A Survery pp.35-56
(Mark E. Wohar, Department of Economics, University of Nebraska at Omaha)

A Latent Variable Approach to Estimating Time-Varying Scale Efficiencies in US Commercial Banking pp.57-76
(Dogan Tirtiroglu, Kenneth Daniels and Ercan Tirtiroglu; University of Adelaide)

Long-Term Real Interest Rates: An Empirical Analysis pp.77-94
(Khurshid M. Kiani, Department of Finance, Bang College of Business, Kazakhstan Institute of Management, Economics and Strategic Research)

Interest Rate Movements In The Life Insurance Fair Valuation Context pp.95-110
(Rosa Cocozza, Dipartimento di Economia Aziendale, Facolta di Economia Universita degli Studi di Napoli, Napoli, Italy, Emilia Di Lorenzo, Dipartimento di Matematica e Statistica, Facolta di Economia Universita degli Studi di Napoli, Napoli,Italy, Albina Orlando, Consiglio Nazionale delle Ricerche, Istituto per le Appliczioni del Calcolo Mauro Picone, Napoli, Italy, and Marilena Sibillo, Dipartimento di Scienze Economiche e Statistiche, Facolta di Economia Universita degli Studi di Salerno, Fisciano, Italy)

Futures Market Liquidity under Floor and Electronic Trading pp.111-138
(Owain ap Gwilym, Ian McManus, Stephen Thomas - School of Management and Business, Aberystwyth Univ., Wales, UK, and others)

An Analysis of Liquidity across Markets: Execution Costs on the NYSE Versus Electronic Markets pp.139-168
(Michael A. Goldstein, Gang Hu, J. Ginger Meng - Babson College, Babson Park, MA, and others)

Payment Systems and Liquidity pp.169-188
(Francisco J. Callado Munoz, Natalia Utrero Gonzalez - University of Girona, Girona, Spain)

Optimal Planning, Scheduling and Budgeting with Enterprise-Wide Integration Preserving Liquidity pp.189-212
(Mariana Badell - University Politecnica de Catalunya)

Liquidity, Futures Price Dynamics, and Risk Management pp.213-232
(Kit Pong Wong - University of Hong Kong)

Short Communication pp.233-234
Semiparametric Estimation of The Fractional Differencing Parameter In The US Interest Rate pp.235-248
(Luis A. Gil-Alana, University of Navarre, Department of Economics, Pamplona, Spain)

Index pp.249-260

   Series:
      Financial Institutions and Services
   Binding: Hardcover
   Pub. Date: 2009, 3rd Quarter
   ISBN: 978-1-60692-775-5
   Status: AV
  
Status Code Description
AN Announcing
FM Formatting
PP Page Proofs
FP Final Production
EP Editorial Production
PR At Prepress
AP At Press
AV Available
  
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