BR>What impact did the introduction of this pension insurance have on the market valuation of companies with
underfunded defined benefit pension schemes? What is the implication of this result for the market valuation
of companies with pension liabilities? Has the market capitalized future transfers through the PPF between
financially healthy firms and financially unhealthy firms?
SELECTED READING:
McCarthy, David; Neuberger, Anthony. The Pension Protection Fund. Fiscal Studies. Vol. 26 (2). p 139-67.
June 2005.
McCarthy, David; Neuberger, Anthony. Pricing Pension Insurance: The Proposed Levy Structure for the
Pension Protection Fund. Fiscal Studies. Vol. 26 (4). p 471-91. December 2005.
Campbell, John Y, Andrew Lo and Craig McKinlay, The Econometrics of Financial Markets, Princeton
University Press, 1997
DATA SOURCE: Datastream, Compustat
MODELLING FINANCIAL CRISES
ISSUES:
Financial crises seem to hit the markets with surprising frequency; obvious examples are the collapse of the
UK's membership of the ERM and the far east financial crises. What is the explanation for these events, is it a
fundamental problem or something subtler.
SELECTED READING:
Chui M.(2002), “Leading Indicators of Balance of payments crises: A partial review” , Working paper, Bank of <英语论文网 【http://www.51lunwen.org】BR>England, available from
http://www.bankofengland.co.uk/financialstability/crisismanagement/workingpapers.htm
Flood R. and Marion N.P. (1998), “Perspectives on the recent currency crises literature”, IMF working paper
No. 98/130
Krugman P. (1979), “A model of Balance of payments crises”, Journal of money credit and Banking,11, pp
311-25.
Obstfeld M. (1996), “Models of Currency crises with self fulfilling features”, European Economic Review, 40,
pp 1037-47.
DATA SOURCE: Raw data available on Ecowin and Datastream – finding the dates of crises will require
some work
NON-LINEAR DYNAMICS IN EXCHANGE RATES
ISSUES:
One possible explanation for the failure of many studies to find stationary real exchange rates (i.e. exchange
rates consistent with PPP) is the possibilty that exchange rates mean revert in a non-linear fashion. In
particular, some studies have found that mean reversion is very weak when exchange rates are relatively
close to equilibrium, but gets much stronger the further the currency moves away. Since the increase in mean
reversion is non-linear, sophisticated models that capture non-linear mean reversion need to be estimated.
SELECTED READING:
Panos M., Nobay, R and Peel D. (1997),"Transactions costs and Nonlinear Adjustment in Real exchange
rates: An Empirical Investig
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