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Vries, C.G. de

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Casper de Vries

Casper de Vries, born in The Hague, the Netherlands, in 1955. Ph.D. from Purdue University, West-Lafayette. Professor of Economics at Erasmus University, Rotterdam.

Fellow (1 September 1998 - 1999)

My research agenda centered on two major projects. The first focussed on using finance and particularly real options theory in monetary macro and international economic issues. Two papers were written concerning risk management by the financial industry. A third paper concerns the industry's wide effects of systemic risk and tries to measure the extent of such risks. As of today no such measures are available. Macro monetary policy regimes affect the financial structure of an economy through the maturity structure of debt. This relation was used to predict the homogeneity in transmission of monetary policy among the members of the EMU.

The other main project is a monograph on international financial markets. The book project concerns international financial markets, but is wider in scope and involves a number of other issues as well. The basic philosophy behind the book is two-fold. The first theme is that empirical research on return data, be it exchange rates or stock prices, has turned up a respectable number of hard empirical facts around which the theory has to be build. The second theme is that macro monetary issues and finance are so intertwined that the subject needs to be approached from both perspectives simultaneously. In this respect my stay at NIAS and the interaction with the real options group was particularly helpful. A number of specific issues not covered elsewhere, such as the use of extreme value theory for risk management at the firm and economy level, are given special treatment. The book is written on a highly technical level and should be especially useful to graduate students and researchers in the field.


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