Yuan, Jiang. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2009. / Includes bibliographical references (leaves 48-51). / Abstract also in Chinese. / Chapter Chapter 1 --- Introduction --- p.1 / Chapter Chapter 2 --- Literature Review --- p.5 / Chapter 2.1 --- Theoretical Literature --- p.5 / Chapter 2.1.1 --- Menu Cost Model --- p.5 / Chapter 2.1.2 --- Signal Extraction Model --- p.6 / Chapter 2.1.3 --- Monetary Search Model --- p.7 / Chapter 2.2 --- Empirical Literature --- p.8 / Chapter Chapter 3 --- Inflation and Relative Price Variability in a Transitional Economy Evidence from China --- p.10 / Chapter 3.1 --- Data and Variables --- p.10 / Chapter 3.2 --- Inflation Decomposition --- p.19 / Chapter 3.3 --- Empirical Evidence --- p.14 / Chapter 3.3.1 --- Inflation and RPV --- p.14 / Chapter 3.3.2 --- Robustness --- p.18 / Chapter 3.4 --- Conclusion --- p.20 / Chapter Chapter 4 --- Inflationary Regimes and Relative Prices --- p.22 / Chapter 4.1 --- Introduction --- p.22 / Chapter 4.2 --- The Change of Inflationary Regimes in China: 1978-2008 --- p.23 / Chapter 4.3 --- Inflationary Regimes and Relative Price --- p.25 / Chapter 4.3.1 --- Preliminary Evidence --- p.25 / Chapter 4.3.2 --- Empirical Evidence --- p.27 / Chapter 4.4 --- Structure Change --- p.32 / Chapter 4.4.1 --- Endogenous Breakpoint Test --- p.32 / Chapter 4.4.2 --- Test Results on the Changing Role of Expected Inflation --- p.33 / Chapter 4.5 --- Conclusion --- p.35 / Chapter Chapter 5 --- Institutional Cost and Relative Price Variability --- p.36 / Chapter 5.1 --- Introduction --- p.36 / Chapter 5.2 --- "Institutional Cost, Price Adjustment, and Relative Price Variability in China" --- p.38 / Chapter 5.2.1 --- Background --- p.38 / Chapter 5.2.2 --- Institutional cost --- p.39 / Chapter 5.2.3 --- The relationship between institutional cost and relative price variability --- p.42 / Chapter 5.3 --- The Empirical Evidence --- p.43 / Chapter 5.4 --- Conclusion --- p.45 / Chapter Chapter 6 --- Conclusion and Implications --- p.46 / Reference --- p.48

Thesis (Ph. D.)--University of Texas at Austin, 2002. / Vita. Includes bibliographical references. Available also from UMI Company.

Thesis (Ph. D.)--University of Texas at Austin, 2002. / Vita. Includes bibliographical references (leaves 221-226). Available also in an electronic version.

Thesis (M. Soc. Sc.)--University of Hong Kong, 1992. / Cover title. Photocopy typescript.

In this thesis, I undertake an empirical search for the existence of price and exchange rate bubbles during the inter-war European hyperinflations of Germany, Hungary and Poland. Since the choice of an appropriate policy to control inflation depends upon the true nature of the underlying process generating the inflation, the existence or non-existence of inflationary bubbles has important policy implications. If bubbles do exist, positive action will be required to counter the public's self-fulfilling expectation of a price surge. Hyperinflationary episodes have been chosen as my case study because of the dominant role that such expectations play in price determination. In the literature, there are frequently expressed concerns about empirical research into bubbles. The existence of model misspecification and the nonlinear dynamics in the fundamentals under conditions of regime switching may lead to spurious conclusions concerning the existence of bubbles. Furthermore, some stochastic bubbles may display different collapsing properties and consequently appear to be linearly stationary. Thus, the evidence against the existence of bubbles may not be reliable. In my thesis, I attempt to tackle the above empirical problems of testing for the existence of bubbles using advances in testing procedures and methodologies. Since the number of bubble solutions is infinite in the rational expectations framework, I adopt indirect tests, rather than direct tests, for the empirical study. From the findings of my empirical research, the evidence for stationary specification errors and the nonlinearity of the data series cannot be rejected, but the evidence for the existence of price and exchange rate bubbles is rejected for all the countries under study. It leads to the conclusion that the control of the inter-war European hyperinflations was attributable to control of the fundamental processes, since the dynamics of prices and exchange rates for these countries might not be driven by self-fulfilling expectations.

M.Comm. (Financial Economics) / This dissertation examines the relationship between inflation, inflation uncertainty, and economic growth using quarterly data for South Africa covering the period 1960-2012. Inflation uncertainty is estimated using the Generalized Autoregressive Conditional Heteroscedasticity modelling framework. Granger methods are employed in order to investigate the interaction between inflation, inflation uncertainty, and economic growth. The presence of structural change is investigated through dummy variables representing changes in monetary policy regime. No evidence is found of any significant structural change in either inflation or inflation uncertainty. Granger results indicate that inflation uncertainty has a negative impact on inflation, supporting Holland’s (1995) argument of stabilising central bank behaviour. Conversely, there is evidence that high inflation leads to elevated inflation uncertainty, in accordance with Friedman’s (1977) hypothesis. Inflation uncertainty does not have a significant impact on economic growth in South Africa. However, inflation does have an adverse effect on economic growth, whilst economic growth exerts a positive impact on the rate of inflation. Lastly, economic growth does not have any meaningful effect on inflation uncertainty.

A dissertation submitted to the Faculty of Science, University of the Witwatersrand, Johannesburg, in fulfilment of the requirements for the degree of Master of Science. Johannesburg, 2014. / The period between 2008 and 2009 was an interesting and dramatic time for financial markets. This period marked the beginning of the financial tsunami that would plague global markets for many years to come. This economic meltdown had massive effects on many everyday issues such as house prices, interest rates and inflation. Investment banks were also affected with numerous investment banks either defaulting or being taken over by the U.S. Federal Reserve to avoid default. This group of investment banks include names such as Lehman Brothers, Bear Sterns, Fannie Mae, Freddy Mac and many more. The myth of “too big to fail” was tested and failed because of the number of banks that were allowed to default during the crisis. Many things have changed because of the crisis. One area in finance that has changed is the pricing of financial derivatives. The realisation that huge investment banks can default has dried up the liquidity in capital markets. Therefore banks cannot borrow a shortfall of cash at a risk-free rate anymore but rather at a significant spread over the risk-free rate. The risk-free rate is a core concept of derivative pricing. If investment banks cannot borrow and lend at the risk-free rate then the Black-Sholes-Merton theory laid down in the 1970’s may not be applicable post the credit crisis. The aim of this dissertation is to review the framework of Piterbarg, Burgard and Kjaer to price a general derivative post the credit crisis. This review includes a variety of numerical methods to implement the framework.

Suen Ming-hon. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2001. / Includes bibliographical references (leaves 46-49). / Abstracts in English and Chinese. / Abstract --- p.i / Acknowledgement --- p.iii / Table of Contents --- p.iv / Introduction --- p.1 / Chapter Chapter 1 --- The Benchmark Model --- p.9 / Chapter 1.1 --- The Model --- p.9 / Chapter 1.2 --- Comparative Statics --- p.12 / Chapter 1.3 --- Local Stability --- p.13 / Chapter Chapter 2 --- Long-Run Relationships Between Money and Growth --- p.14 / Chapter 2.1 --- The Money-in-the-Utility-Function (MIUF) Model --- p.15 / Chapter 2.2 --- The Cash-in-Advance (CIA) Model --- p.19 / Chapter 2.2.1 --- The Clower-Lucas Model --- p.20 / Chapter 2.2.2 --- The Stockman Model --- p.22 / Chapter 2.3 --- The Pecuniary Transactions Costs (PTC) Model --- p.26 / Chapter Chapter 3 --- Transitional Dynamics --- p.31 / Chapter 3.1 --- The Money-in-the-Utility-Function (MIUF) Model --- p.31 / Chapter 3.2 --- The Cash-in-Advance (CIA) Model --- p.32 / Chapter 3.2.1 --- The Clower-Lucas Model --- p.32 / Chapter 3.2.2 --- The Stockman Model --- p.33 / Chapter 3.3 --- The Pecuniary Transactions Costs (PTC) Model --- p.34 / Chapter Chapter 4 --- Conclusion --- p.37 / Mathematical Appendix / Chapter A.1 --- The Benchmark Model --- p.39 / Chapter A.2 --- The Money-in-the-Utility-Function (MIUF) Model --- p.39 / Chapter A.3 --- The Cash-in-Advance (CIA) Model --- p.40 / Chapter A.3.1 --- The Clower-Lucas Model --- p.40 / Chapter A.3.2 --- The Stockman Model --- p.41 / Chapter A.4 --- The Pecuniary Transactions Costs (PTC) Model --- p.43 / Table 1 Summary of Findings --- p.45 / Reference --- p.45

Leong Chan Fai. / Thesis (M.Phil.)--Chinese University of Hong Kong, 2002. / Includes bibliographical references (leaves 100-105). / Abstracts in English and Chinese. / Abstract --- p.i-ii / Acknowledgements --- p.iii / Table of Contents --- p.iv / List of Tables --- p.v / List of Figures --- p.vi / Chapter Section 1 --- Introduction --- p.1 / Chapter Section 2 --- Literature Review --- p.5 / Chapter Section 3 --- Data Description --- p.13 / Chapter 3.1 --- Transaction Prices --- p.13 / Chapter 3.2 --- Macroeconomic Variables --- p.15 / Chapter Section 4 --- Methodology --- p.19 / Chapter 4.1 --- Hedonic Pricing --- p.21 / Chapter 4.2 --- Measurements --- p.22 / Chapter 4.3 --- Stationarity --- p.24 / Chapter 4.4 --- Vector Autoregressive Model and Granger Causality --- p.27 / Chapter Section 5 --- Hypothesis Testing --- p.31 / Chapter Section 6 --- Empirical Results --- p.35 / Chapter 6.1 --- Hedonic Pricing Models --- p.35 / Chapter 6.2 --- Real Housing Price Dispersion Indicators and Macro Variables --- p.36 / Chapter 6.3 --- Stationary Tests --- p.37 / Chapter 6.4 --- Results from the Ordinary Least Square Regressions --- p.37 / Chapter 6.5 --- Results from the Vector Auto Regressive Models --- p.40 / Summary and Conclusion --- p.46 / Appendix 1 Tables --- p.49 / Appendix 2 Figures --- p.80 / Reference --- p.100

Typescript (photocopy). / Digitized by Kansas Correctional Industries