Gengi og vaxta■rˇun 04.07.19

Hßskˇli ═slands - Vi­skipta- og hagfrŠ­ideild - Vormisseri 2005

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Kennarar:

┴sgeir Jˇnsson
ajonsson@hi.is

Hersir Sigurgeirsson

 

Ůetta nßmskei­ tekur ß ■remur ■ßttum. ═ fyrsta lagi vaxtamyndun ß millibankamarka­i og hvernig a­ peningamßlaa­ger­ir Se­labankans ßkvar­a skammtÝmavexti. Fari­ er yfir helstu vi­mi­ Ý peningamßlastjˇrnun, s.s. ver­bˇlgumarkmi­ og hagstjˇrnarreglur, og um tengsl bŠ­i nafnvaxta og raunvaxta vi­ ver­bˇlgu. Ůß er fjalla­ um střritŠki Se­labankans og hvernig peningamßlaa­ger­ir hafa ßhrif ß vaxtavŠntingar. ═ ÷­ru lagi er fjalla­ um tengsl vaxta og gengis og fari­ yfir helstu kenningar um ßkv÷r­un bŠ­i nafngengis og raungengis gjaldmi­la. ═ ■ri­ja lagi er fjalla­ um mismunandi ger­ir skuldabrÚfa, skuldabrÚfaaflei­a, og vaxtaaflei­a.  Fari­ er stuttlega yfir grunnatri­i skuldabrÚfa s.s. ßv÷xtunarkr÷fu, me­altÝma og Ýhvolfunar■ßtt, og smÝ­i vaxtaferilsins. Ůß er fari­ yfir helstu ger­ir skuldabrÚfa- og vaxtaaflei­a og ver­lagningu ■eirra me­ mismunandi lÝk÷num, t.d. lÝkani Black, eins■ßttar lÝk÷num af skammtÝmav÷xtum, og marg■ßtta lÝk÷num.

Kennari Ý fyrstu tveimur hlutunum ver­ur ┴sgeir Jˇnsson, lektor vi­ Vi­skipta- og hagfrŠ­ideild. Hann hefur a­setur Ý Odda, skrifstofu 127. Kennsluefni Ý fyrstu tveimur fjˇr­ungum ver­ur byggt ß řmsum greinum og glˇsum sem birt er hÚr a­ ne­an.

Kennari Ý sÝ­asta ■ri­jungi nßmskei­sins ver­ur Hersir Sigurgeirsson, er starfar hjß eigin vi­skiptum KB banka. Hann mun sty­jast vi­ bˇkina:  John C. Hull: Options, Futures, and Other Derivatives, 5th edition.

DŠmatÝmar ver­a haldnir ....... Fyrsti dŠmatÝminn ver­ur haldinn x jan.. DŠmakennari er MarÝas Halldˇr Gestsson ( marias@hi.is) en hann hefur a­setur ß HagfrŠ­istofnun, Aragata 14. SÝmi: 525 4213.

 

 

Hluti I     

 

Vika 1: Mi­lunarferli peningamßlstefnunnar

Glˇsur - ■rˇun bankakerfisins

Glˇsur- mi­lunarferli­

 

 Ůˇrarinn G. PÚtursson. Mi­lunarferli peningastefnunnar.  Peningamßl Se­labanka ═slands. Nˇvember 2001
h
ttp://www.sedlabanki.is/uploads/files/pm014_7.pdf

┴sgeir Jˇnsson Um fram■rˇun Ýslenska bankakerfisins Jˇlabla­ VÝsbendingar, 2004

tarefni

Stephen G. Cecchetti "Distinguishing Theories of the Monetary Transmission Mechanism"

Frederic S. Mishkin "The Monetary Transmission Mechanism"  The Journal of Economic Perspectives, Vol. 9, No. 4. (Autumn, 1995), pp. 3-10

 

 

Vika 2: Peningar, vextir og vaxtaj÷fnur

 

Lesefni

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

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

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

┴sgeir Jˇnsson  Bankar, peningar og ver­bˇlga sÚrrit KB banka (2004)

 

Glˇsur

Glˇsur - ßkv÷r­un raunvaxta Ý loku­u hagkerfi

Glˇsur - verkfŠri og markmi­ Se­labanka

 

═tarefni

William Poole "Optimal Choice of Monetary Policy Instruments in a Simple Stochastic Macro Model" The Quarterly Journal of Economics, Vol. 84, No. 2. (May, 1970), pp. 197-216.

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

Daniel L. Thornton."The Effect of Monetary Policy on Short-Term Interest Rates" Federal Reserve Bank of St. Louis Review,May/June 1988, 70(3), pp. 53-72.

 

Vika 3: Markmi­ og akkeri peningamßlastefnunar

 

Glˇsur - hagstjˇrnara­ger­ir og hagstjˇrnarreglur.

Glˇsur - Ver­bˇlgumarkmi­

 

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

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)

 

═tarefni

Robert J. Barro and David B. Gordon, "A Positive Theory of Monetary Policy in a Natural Rate Model"  The Journal of Political Economy, Vol. 91, No. 4. (Aug., 1983), pp. 589-610.

Robert J. Barro Recent Developments in the Theory of Rules Versus Discretion  The Economic Journal, Vol. 96, Supplement: Conference Papers. (1986), pp. 23-37.

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

 

Vika 4: Peningastefnan og fjßrmßlamarka­ir

Glˇsur - millibankamarka­urinn

Glˇsur - vi­skiptavaktir og bankakerfi

 

Se­labanki ═slands Peningastefnan og stjˇrntŠki hennar Peningamßl, desember 2004

 

═tarefni

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)

Jonathan McCarthy and Richard W. Peach Are Home Prices the Next "Bubble"? New York Fed Economic Policy Review, 2004

William Poole "Housing in the Macroeconomy" The Federal Reserve Bank of St. Louis Review

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

 

 

Verkefni lagt fyrir Ý 3 viku, skiladagur Ý 5 viku

 

Hluti II   

Vika 5 klassÝsk al■jˇ­afjßrmßl yfirlit yfir h÷gnun

 

Glˇsur - skilvirkni gjaldeyrismarka­a

Glˇsur- vaxtajafnvŠgi og gengisspßr

Glˇsur - um PPP

 

Mark P. Taylor "The Economics of Exchange Rates"  Journal of Economic Literature, Vol. 33, No. 1. (Mar., 1995), pp. 13-47.
Lesa bla­sÝ­ur 13-21

┴sgeir Jˇnsson, Snorri Jakobsson og SteingrÝmur A. Finnsson. SÚrefni um gengi krˇnunnar. KB banki desember 2004.

Upprifjun

Krugman and Obstsfeldt - Kaflaglˇsur 14

Krugman and Obstsfeldt - Kaflaglˇsur 15

 

 

 

Vika 6 Helstu kenningar um gengisßkvar­anir

Mark P. Taylor "The Economics of Exchange Rates"  Journal of Economic Literature, Vol. 33, No. 1. (Mar., 1995), pp. 13-47.
Lesa bla­sÝ­ur 21-37

Paul van den Noord Economics (2004) " Euro: the experience to date" Opinber fyrirlestur vi­ Hßskˇla ═slands september 2004 fyrir h÷nd The economics department OECD.
Birt me­ leyfi h÷fundar

 

Vika 7: Gjaldeyriskreppur, gjaldeyrisinngrip og erlendar skuldir

 

Glˇsur - gjaldeyrisinngrip

Glˇsur - mi­lunarferli og regluverk

 

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.

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.NŠgir a­ lesa fyrstu 20 sÝ­urnar)

 

 

Vika 8: FlŠ­i, seljanleiki og marka­sger­

glˇsur - marka­smi­lunarfrŠ­i

Richard K. Lyons (2002); The microstructure approach to the exchange rates  http://faculty.haas.berkeley.edu/lyons/bookch1.pdf  

Jerry A. Frieden (1997): The Politics of Exchange Rates [from Sebastian Edwards & Moises Naim, eds., Mexico 1994: Anatomy of an Emerging Market Crash, ch. 3 (Carnegie Endowment for International Peace, 1997)]

Kenneth Rogoff  (2001) Why Not a Global Currency?, American Economic Review 91.http://www.economics.harvard.edu/~krogoff/AER-May01.pdf

 

Verkefni II lagt fyrir Ý 8. viku, skiladagur Ý 10 viku.

 

Hluti III

Vika 9:

Ţmis konar skuldabrÚf me­ f÷stum og breytilegum v÷xtum, ver­trygg­ og ˇver­trygg­. ┴v÷xtunarkrafa, me­altÝmi, og Ýhvolfunar■ßttur.  Framvirkir vaxtasamningar, endurhverf ver­brÚfavi­skipti, og vaxtaskiptasamningar. Vaxtaferillinn, og smÝ­i hans.  Yfirlit yfir Ýslenska skuldabrÚfamarka­inn.

Kaflar 5 og 6.

 

 

Vika 10

Grunnatri­i Ý ver­lagningu aflei­a.  SkuldabrÚfa- og vaxtaaflei­ur, t.d. skuldabrÚf me­ innk÷llunarßkvŠ­i, skuldabrÚfavalrÚttir, ■÷k og gˇlf.  Yfirlit yfir Ýslenskar skuldabrÚfa- og vaxtaaflei­ur.

Kafli 22.

 

Vika 11

Eins■ßttar vaxta■rˇunarlÝk÷n, kennd vi­ t.d. Vasicek, Cox, Ingersoll & Ross, Ho & Lee og Hull & White.

Kafli 23.

 

Vika 12

 

Marg■ßtta vaxta■rˇunarlÝk÷n, kennd vi­ Heath Jarrow og Morton.  Breytanleg skuldabrÚf og skuldabrÚf bygg­ ß ve­lßnum.

Kaflar 24 og 27

 

Verkefni

  1. Verkefni ˙r fyrri tveimur fyrirlestrum.  Lagt fyrir 10. mars, skil 23. mars.
  2. Verkefni ˙r seinni tveimur fyrirlestrum.  Lagt fyrir 31. mars, skil 13. aprÝl.