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A Defense of Traditional Hypotheses about the Term Structure of Interest Rates
(Blackwell Publishing, 1986)
Expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time. Under the former interpretation, different versions of the expectations theory ...
Stock Prices, Earnings, and Expected Dividends
(Wiley-Blackwell, 1988)
Long historical averages of real earnings help forecast present values of future real dividends. With aggregate U.S. stock market data (1871-1986), a vector-autoregressive forecast of the present value of future dividends ...
Bond and Stock Returns in a Simple Exchange Model
(MIT Press, 1986)
This paper studies asset pricing in a general equilibrium representative agent exchange model. The assumptions of isoelastic period utility and lognormal endowment allow the derivation of closed-form solutions for asset ...
Stock Returns and the Term Structure
(Elsevier, 1987)
In monthly U.S. data for 1959–1979 and 1979–1983, the state of the term structure of interest rates predicts excess stock returns, as well as excess returns on bills and bonds. This paper documents this fact and uses it ...
The Dollar and Real Interest Rates
(Elsevier Science B.V., 1987)
In this paper, we investigate the link between the real foreign exchange value of the dollar and real interest rates since 1979. We argue that it is important to consider the possibility that real exchange rate movements ...
Cointegration and Tests of Present Value Models
(University of Chicago Press, 1987)
Application of some advances in econometrics (in the theory of co-integrated vector autoregressive models) enables us to deal effectively with two problems in rational expectations present value models: nonstationarity of ...
Are Output Fluctuations Transitory?
(MIT Press, 1987)
According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view. If fluctuations in output are ...
A Simple Account of the Behavior of Long-Term Interest Rates
(American Economic Association, 1984)
Recent empirical research on the term structure of interest rates has shown that the long-term interest rate is well described by a distributed lag on short-term interest rates, but does not conform to the expectations ...
Permanent and Transitory Components in Macroeconomic Fluctuations
(American Economic Association, 1987)
Fluctuations in real GNP have traditionally been viewed as transitory deviations from a deterministic time trend. The purpose of this paper is to review some of the recent developments that have led to a new view of output ...
The Term Structure of Euromarket Interest Rates: An Empirical Investigation
(Elsevier, 1987)
This paper is an empirical investigation of the predictability and co-movement of risk premia in the term structure of Euromarket interest rates. We present regression results which suggest that risk premia in three ...