Bankar og peningar 04.07.55

Háskóli Íslands - Viðskipta- og hagfræðideild - Hausmisseri 2008

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Kennari: Ásgeir Jónsson  (ajonsson@hi.is)

 

 

 

Í þessu námskeiði verður farið yfir helstu eignamarkaði hérlendis, það er með skuldabréf, hlutabréf, fasteignir, gjaldeyri og lausafé. Fjallað er um verðmyndun á þessum mörkuðum bæði í fræðilegu samhengi og með tilvísun við íslenskan veruleika. Einnig er farið yfir rekstur bankastofnana og þýðingu millibankamarkaða fyrir verðmyndun á fjármálamarkaði. Þá er fjallað um hlutverk seðlabanka í hagstjórn, stjórntæki peningamála, miðlun aðgerða hans um fjármálamarkaðina og áhrif á hagkerfið. Lögð er sérstök áhersla á að tengja námsyfirferðina við þau málefni sem efst er á baugi í efnahags- og þjóðmálaumræðu á hverjum tíma, þannig að nemendur öðlist hagnýta fræðilega þekkingu íslenskum fjármálamörkuðum og grunnatriðum í hagstjórn.

 

Í þessu námskeiði verða lögð fyrir 3 verkefni með 10% vægi hvort í lokaeinkunn. Loks mun lokapróf hafa um 70% vægi í lokaeinkunn. 

Aðalkennslubók er The Economics of Banking eftir þá Kent Matthews og John Thompson. Auk þess verður farið yfir ýmsar aðrar greinar samhliða bókinni. Til frekari fróðleiks er nemendum bent á heildaryfirlit yfir greinar um bankamál samkvæmt X. Freixas

 

Lokapróf 2004
Lokapróf 2005
Lokapróf 2006
Lokapróf 2007

 

 

Verkefni 1 - gildir 20%

Hjálparefni fyrir verkefni 1

 

Merril Lynch Icelandic Banks: Not what you are thinking. European Credit Research. 7. mars 2006

Morgan Stanley Icelandic Banks: Chill out European Banks, 13. mars 2006

JP Morgan (2006) "Icelandic banks Typical investor Q&A, and our response" European Credit Research 24 March 2006

FitchRatings.(2006) The Icelandic Banking System. Country Report

Icelandic banks: After our Reykjavik Roadshow: still nervous near term. European Credit Research 11 April 2006

Moody´s Global Sovereign (2008) Sovereign Icelands Aaa ratings at a Crossroads. Special Comment

 

 

RBS Icelandic Banks Constructive on fundamentals; technicals weigh 08 August 2008

Merril Lynch Icelandic Banks Distress and default High Grade Credit | Europe | Banks 24 July 2008

Credit Sights  Icelandic Banks 2Q08: Going Into Rehab Date Published: 07 Aug 2008, 20:41

Buiter&Sibert The Icelandic banking crisis and what to do about it: The lender of last resort theory of optimal currency areas Revised 27 April 2008 This version 23 July 2008

UBS Investment Research Nordic Economic Focus Iceland: What a difference a week makes 13 October 2008

Credit Sights (2008) Icelandic Banks: No Sign of a Thaw

Richard Thomas Resolving Iceland’s banking “crisis” Merril Lynch High Grade Credit | Europe | Banks 31 March 2008

Credit Sights Icelandic Banks: Sitting On The CDS Volcano Mars 2008Icelandic Banks 2Q08: Going Into Rehab Date Published: 07 Aug 2008, 20:41

 

Verkefni 2 - gildir 20%

Hjálparefni fyrir verkefni 1

Landsbanki Föroya ECONOMIC ANALYSIS 29 APRÍL 2008

Moody´s Investor Service. Credit Opinion: Government of Faroe Islands. Global Credit Research 13 OCT 2008

Føroya Banki - Prospectus

UBS Investment Research Landsbanki Best in class, but not for the faint-hearted Global Equity Research 20 February 2008

 

 

Vika 1. Um hvað snýst bankastarfsemi?

 

Skyldulesefni:

Kafli 1 í M&T

Ásgeir Jónsson Um framþróun íslenska bankakerfisins Jólablað Vísbendingar, 2004

 

Glósur

Glósur - Um framþróun íslenska bankakerfisins

 

Aukalesefni 

Simon Kwan. "Financial Modernization and Banking Theories", FRBSF ECONOMIC LETTER, December 2001.

The paradox of Banking 2015 Achieving more by doing less IBM Institute for Business Value, 2005

 

Vika 2. Fjármálaleg milliganga og lausafjártrygging

 

Skyldulesefni:

Kaflar 3-5 í M&T

Douglas W. Diamond; Philip H. Dybvig Banking Theory, Deposit Insurance, and Bank Regulation The Journal of Business, Vol. 59, No. 1. (Jan., 1986), pp. 55-68.

Matt King  Understanding the CP Crunch Citigroup Fixed Income Quantitative Research 16 August 2007

Glósur

Glósur - Hvað gera bankarnir?
Glósur - tegundir bankastarfsemi
Bankar og bakaðar baunir

 

Aukalesefni 

George J. Benston Universal Banking The Journal of Economic Perspectives > Vol. 8, No. 3 (Summer, 1994), pp. 121-143

Marc R. Saidenberg and Philip E. Strahan Are Banks Still Important for Financing Large Businesses? Current Issues in Economics and Finance. Federal Reserve Bank of New York,1999

Robert N McCauley, Judith S Ruud and Philip D Wooldridge Globalising international banking BIS Quarterly Review, March 2002

Douglas W. Diamond Financial Intermediation as Delegated Monitoring: A Simple Example

Anil K. Kashyap; Raghuram Rajan; Jeremy C. Stein Banks as Liquidity Providers: An Explanation for the Coexistence of Lending and Deposit-Taking  The Journal of Finance > Vol. 57, No. 1 (Feb., 2002), pp. 33-73

Douglas W. Diamond; Philip H. Dybvig Bank Runs, Deposit Insurance, and Liquidity  The Journal of Political Economy > Vol. 91, No. 3 (Jun., 1983), pp. 401-419

 

 

Vika 3: Rekstrarhagfræði fjármálastofnana og skuldavafningar

Skyldulesefni

Kaflar 6 og 8

 

Glósur

Glósur - fjármagnsskömmtun

Glósur- miðlunarferlið

Gjaldþrot Lehmans

 

Aukalesefni 

Frederic S. Mishkin. "The Transmission Mechanism and the Role of Asset Prices in Monetary Policy," in Aspects of the Transmission Mechanism of Monetary Policy, Focus on Austria 3-4/2001. (Osterreichische Nationalbank: Vienna 2001): 58-71. (view PDF)

Lawrence J. White."Fannie Mae, Freddie Mac, and Housing Finance Why True Privatization Is Good Public Policy" Policy Analysis, október 2004

Doris Neuberger Industrial organization of banking: A review . International Journal of the Economics of Business. Abingdon: Feb 1998.Vol.5, Iss. 1; pg. 97, 22 pgs  

 

 

 

Vika 4. Skuldavafningar, seljanleiki og lánveitingar til þrautavara

Kafli  9 í M&T

A Black Wednesday on Credit Markets; 'Heaven Help Us All' Wall Street Journal, SEPTEMBER 20, 2008

Indie I-Banks: Dieing Dinosaurs or Burgeoning Behemoths? Credit Sights, 18 Sep 2008

Eschatological. Time to go long. Merril Lynch High Grade Credit | Europe | Banks 12 March 2008

CURZIO GIANNINI Enemy of None but a Common Friend of All? An International Perspective on the Lender-of-Last-Resort Function IMF Working Paper No. 99/10 January 1999
(Athugið að það nægir að lesa 12 fyrstu síðurnar um domestic lender of last resort)

 

Glósur

Glósur - Skuldavafningar

Glósur - Skuldavafningar Kaupþings

Glósur - Lánveitingar til þrautarvara

Glósur - hvað getur gerst á einni helgi?

 

Aukalesefni 

The Next Phase in Financial Intervention, US Daily Financial Market Comment, Goldman Sachs, 18 september 2008

Allen, Mark, Rosenberg, Christoph B.,  Keller, Christian, Setser, Brad og Roubini, Nouriel. (2002) "A Balance Sheet Approach to Financial Crisis" IMF Working Paper No. 02/210 
(ATH.Nægir að lesa fyrstu 20 síðurnar)

Frederic S. Mishkin  Þýðing fjármálastöðugleika fyrir efnahagslífið

 

 

Vika 5: Reglun á fjármálamarkaði

Skyldulesefni - kafli 11 M&T

 

Kaminsky, G. L og Reinhart, C. M. (1999) " The Twin Crisis: the Causes of Banking and Balance-of-Payments Problems"  American Economic Review Vol. 89 473-500.

Harald Benink, Jón Daníelsson og Ásgeir Jónsson "On the Role of Regulatory Banking Capital" Financial Markets, Institutions & Instruments,  February 2008 - Vol. 17 Issue 1 Page 1-136

 

Glósur

Glósur - Basel II og lítil opin hagkerfi

Glósur - regluverk bankakerfisins

Glósur - eiginfé banka og rekstraráhætta

 

 

Aukalesefni

Jon Danielsson og Hyun Song Shin (2002) Endogenous Risk 

Jón Daníelsson og Ásgeir Jónsson  Gengisvarnir á eiginfé banka og fjármálalegur stöðugleiki Fjármálatíðindi 53. árgangur fyrra hefti 2006, bls. 22-33

Skander J. Van den Heuvel Does Bank Capital Matter for Monetary Transmission?

R. Glenn Hubbard "Is There a 'Credit Channel' for Monetary Policy?  Federal Reserve Bank of St. Louis Review 1995

 

Vika 6 : Miðlunarferli og vaxtaróf 

Skyldulesefni

Kaflar 2 og 13 í M&T

William Poole Understanding the Term Structure of Interest Rates, Federal Reserve Bank of St. Louis, júní 2005

Deutsche Bundesbank Real interest rates: movements and determinants. Monthly Report July 2001.

 

 

Glósur

Glósur - ákvörðun raunvaxta í lokuðu hagkerfi

Glósur -vaxtaróf og raunvaxtastig

Glósur - Hvaða máli skiptir M?
 

 

Aukalesefni

Marvin Gooodfriend Using the Term Structure of Interest Rates for Monetary Policy  Richmond Federal Reserve Bank Economic Quarterly

Christian Upper and Andreas Worms. Real long-term interest rates and monetary a cross-country perspective, BIS paper no. 19, (2003)

Christopher Bliss. The real rate of interest: A theoretical analysis. Oxford review of Economic Policy, summer 1999.

Mervyn King, No money, no inflation—the role of money in the economy The Bank of England Quarterly Bulletin, summer 2002

Ásgeir Jónsson  Bankar, peningar og verðbólga sérrit KB banka (2004)

Daniel L. Thornton and Michelle R. Garfinkel  The Multiplier Approach to the Money Supply Process: A Precautionary Note
Federal Reserve Bank of St. Louis Review, July/August 1991, 73(4), pp. 47-64.

Halldór Sveinn Kristinsson Millibankamarkaður með krónur Peningamál, ágúst 2002

 

 

Vikur 7-10: Markmið og akkeri peningamálastefnunar

Skyldulesefni

Frederic S. Mishkin, "Inflation Targeting," in Howard Vane and Brian Snowdon,
Encyclopedia of Macroeconomics (Edward Elgar: Cheltenham U.K., 2002): 361-65.
(view PDF)

Governor Frederic S. Mishkin  Monetary Policy Flexibility, Risk Management, and Financial Disruptions Speech at the Federal Reserve Bank of New York, New York January 11, 2008

Paul van den Noord Economics (2004) " Euro: the experience to date" Opinber fyrirlestur við Háskóla Íslands september 2004 fyrir hönd The economics department OECD. +

 

Glósur

Glósur - verkfæri og markmið Seðlabanka

Glósur - hagstjórnaraðgerðir og hagstjórnarreglur.

Glósur - Verðbólgumarkmið

Glósur - gjaldeyrisinngrip

 

Aukalesefni

Um gengisspár með óvörðu vaxtajafnvægi

Frederic S. Mishkin, "What Should Central Banks Do?" Federal Reserve Bank of St. Louis Review, vol. 82, #6 (November/December 2000): 1-13. (view PDF)

Þórarinn G. Pétursson Útfærsla verðbólgumarkmiðsstefnu víða um heim Peningamál Seðlabanka Íslands 2004/1
(Glósur - Þórarinn G. Pétursson - Peningastefna með verðbólgumarkmiði)

Már Guðmundsson Verkefni og starfshættir nútíma seðlabanka Peningamál nóvember 2002

Michael Woodford "Inflation Targeting and Optimal Monetary Policy," October 2003. [Presented at the Annual Policy Conference, Federal Reserve Bank of St. Louis, Oct. 16-17, 2003.] Það nægir að lesa fyrst 15 síðurnar

Michael Woodford og Lars E.O. Svensson "Implementing Optimal Policy through Inflation-Forecast Targeting," with , November 1999, revised April 2003. [To appear in: B.S. Bernanke and M. Woodford, eds., Inflation Targeting, University of Chicago Press.]

William Poole "Monetary Policy Rules"  The Federal Reserve Bank of St. Louis Review 1999

Þórarinn G. Pétursson Nýjar áherslur í starfsemi seðlabanka: aukið sjálfstæði, gagnsæi og reikningsskil gerða Peningamál, nóvember 2000

 Þórarinn G. Pétursson. Miðlunarferli peningastefnunnar.  Peningamál Seðlabanka Íslands. Nóvember 2001
h
ttp://www.sedlabanki.is/uploads/files/pm014_7.pdf

Lucio Sarno; Mark P. Taylor "Official Intervention in the Foreign Exchange Market: Is It Effective and, If so, How Does It Work?" Journal of Economic Literature, Vol. 39, No. 3. (Sep., 2001), pp. 839-868.

Mark P. Taylor "The Economics of Exchange Rates"  Journal of Economic Literature, Vol. 33, No. 1. (Mar., 1995), pp. 13-47.

Ásgeir Jónsson, Snorri Jakobsson og Steingrímur A. Finnsson. Sérefni um gengi krónunnar. KB banki desember 2004.

Stephen G. Cecchetti "Distinguishing Theories of the Monetary Transmission Mechanism"
The Federal Reserve Bank of St. Louis Review 1995

Vika 10 Verðlagning bankastofnana.

 

Skyldulesefni

PABLO FERNÁNDEZ Company Valuation Methods: The Most Common Errors in Valuations  University of Navarra - IESE Business School  February 28, 2007

UBS Investment Research Icelandic banks: A question of risk-reward Global Equity Research 5. December 2007

Clifford Asness Bubble Logic Or, How to Learn to Stop Worrying and Love the Bull Partial Book Draft

Glósur

Glósur - Company Valuation

Glósur - verðmat banka

Aukalesefni

Jeremy J. Siegel & Richard H. Thaler Anomalies: The Equity Premium Puzzle The Journal of Economic Perspectives, Vol. 11, No. 1. (Winter, 1997), pp. 191-200.

Kaupthing Research Swedish banks 3Q07 Previews ▪ Banks ▪ Sweden 5 October 2007