Bankar og fjármálamarkaðir 04.07.55

Háskóli Íslands - Viðskipta- og hagfræðideild - Vormisseri 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

 

Vorpróf 2007
Vorpróf 2006

 

 

Verkefni 1

Hjálparefni við 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

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

 

Moody´s Incorporation of Joint-Default Analysis into Moody's Bank Ratings: A Refined Methodology mars 2007

Frequently Asked Questions on Moody’s JDA and BFSR Methodologies mars 2007

Unicredit  SUMMARY OF MOODY'S JDA FOR BANKS May 29, 2007

Credit Sights (2008) Icelandic Banks FY07: Heads You Lose, Tails You Lose. 

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

 

Verkefni 2 - skiladagur 22. apríl

Hjálparefni við verkefni 2

Lender of last resort: a review of the literature.– Financial Stability Review: November 1999

Goodhart, Charles A E Myths about the Lender of Last Resort International Finance 1999

Mervyn King TURMOIL IN FINANCIAL MARKETS: WHAT CAN CENTRAL BANKS DO? Paper submitted to the Treasury Committee, 12 september 2007.

Toby Helm and Christopher Hope Northern Rock made Mervyn King panic.Telegraph 21 september 2007

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

 

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

Áfallasamkomulag Íslands og Norðurlanda

Show Me the Money ! Central Bank Policy Amidst the Financial Crisis  CitiFXÒ Strategy – Bulletin March 25, 2008

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

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 2008

 

Vika 1. Um hvað snýst bankastarfsemi?

 

Skyldulesefni:

Kafli 1 í M&T

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

Ásgeir Jónsson Um framþróun íslenska bankakerfisins Jólablað Vísbendingar, 2004

 

Glósur

Glósur - Um framþróun íslenska bankakerfisins

 

Aukalesefni 

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.

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

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 

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, 8 og 9 í M&T

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  

 

Glósur

Glósur - fjármagnsskömmtun

Glósur - Skuldavafningar

Glósur - Skuldavafningar Kaupþings

Glósur - á ríkið að niðurgreiða verðbréfaviðskipti

 

 

Aukalesefni 

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

Arturo Estrella Securitization and the Efficacy of Monetary Policy New York Fed Economic Policy Review 2004.

 

 

Vika 4. Reglun á fjármálamarkaði og lánveitingar til þrautavara

Kaflar 11 í M&T

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 

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

Ásgeir Jónsson (2006) "10 dagar sem skóku heiminn" Grein rituð í Fréttablaðið í mars 2006

Jon Danielsson og Hyun Song Shin (2002) Endogenous Risk 

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.

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)

 

 

Vika 5: Vaxtamyndun og fjármálamarkaðir

Skyldulesefni

Kafli 2 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 - millibankamarkaðurinn

Glósur -vaxtaróf og raunvaxtastig

 

 

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.

Halldór Sveinn Kristinsson Millibankamarkaður með krónur Peningamál, ágúst 2002

James B. Bullard and Eric Schaling Why the Fed Should Ignore the Stock Market The Federal Reserve Bank of St. Louis Review

 

 

Vika 6 : Miðlunarferli peningamálastefnunar  

 

Skyldulesefni

Kafli 13 í M&T

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

Frederic S. Mishkin  Þýðing fjármálastöðugleika fyrir efnahagslífið

 

Glósur

Glósur- miðlunarferlið
Glósur - Hvaða máli skiptir M?
 

Aukalesefni

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

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

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.

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

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

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)

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

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.

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.

 

Vikur 7-10: Markmið og akkeri peningamálastefnunar

Skyldulesefni

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)

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

 

Glósur

Glósur - verkfæri og markmið Seðlabanka

Glósur - hagstjórnaraðgerðir og hagstjórnarreglur.

Glósur - Verðbólgumarkmið

Um gengisspár með óvörðu vaxtajafnvægi

Glósur - gjaldeyrisinngrip

 

Aukalesefni

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

 

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