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Author : C. L. Osler
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (11 download)
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by C. L. Osler and published by . This book was released on 1989 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carol Lee Osler
Publisher :
ISBN 13 :
Total Pages : 48 pages
Book Rating : 4.3/5 ( download)
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by Carol Lee Osler and published by . This book was released on 1989 with total page 48 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new parity condition for international financial markets which relates differences between the forward exchange rate and the expected future exchange rate to interest rate term premiums. It begins with the general proposition that VIP cannot hold for all maturity horizons if interest rate term premiums are imperfectly correlated across countries and expectations are rational. The conditions under which VIP could hold for multiple horizons, under these two assumptions, are found to be very restrictive. It is argued that if VIP holds at all under these circumstances, it is only likely to hold at a very short time horizon. Finally, it is shown that under these assumptions, if VIP holds at the shortest time horizon then the difference between forward exchange rates and expected future spot rates at all other horizons will be the difference in expected term premiums at each maturity.
Author : Carol L. Osler
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (129 download)
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hypothesis written by Carol L. Osler and published by . This book was released on 2008 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper develops a new parity condition for international financial markets which relates differences between the forward exchange rate and the expected future exchange rate to interest rate term premiums. It begins with the general proposition that VIP cannot hold for all maturity horizons if interest rate term premiums are imperfectly correlated across countries and expectations are rational. The conditions under which VIP could hold for multiple horizons, under these two assumptions, are found to be very restrictive. It is argued that if VIP holds at all under these circumstances, it is only likely to hold at a very short time horizon. Finally, it is shown that under these assumptions, if VIP holds at the shortest time horizon then the difference between forward exchange rates and expected future spot rates at all other horizons will be the difference in expected term premiums at each maturity.
Author : C.L. Osler
Publisher :
ISBN 13 :
Total Pages : 25 pages
Book Rating : 4.:/5 (129 download)
Download or read book Interest rate term premiums and the failure of trade speculative efficiency hypothesis written by C.L. Osler and published by . This book was released on 1989 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Carol L. Osler
Publisher :
ISBN 13 :
Total Pages : 0 pages
Book Rating : 4.:/5 (133 download)
Download or read book Interest Rate Term Premiums and the Failure of the Speculative Efficiency Hipothesis written by Carol L. Osler and published by . This book was released on 1989 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : C. L. Osler
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (11 download)
Download or read book Interest Rate Term Premises and the Failure of the Speculation Efficiency Hypothesis written by C. L. Osler and published by . This book was released on 1989 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author :
Publisher :
ISBN 13 :
Total Pages : 28 pages
Book Rating : 4.:/5 (937 download)
Download or read book New Hope for the Expectations Hypoithesis of the Term Structure of Interest Rates written by and published by . This book was released on 1987 with total page 28 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Kenneth A. Froot
Publisher :
ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (874 download)
Download or read book New Hope for the Expectations Hypothesis of the Term Structure of Interest Rates written by Kenneth A. Froot and published by . This book was released on 1990 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Survey data on interest rate expectations are used to separate the forward interest rate into an expected future rate and a term premium. These components are used to test separately two competing alternative hypotheses in tests of the term structure: that the expectations hypothesis does not hold, and that expected future long rates over- or underreact. to changes in short rates. While the spread consistently fails to predict future interest rate changes, we find that the nature of this failure is different, for short versus long maturities. For short maturities, expected future rates are rational forecasts. The poor predictions of the spread can therefore be attributed to variation in term premia. For longer-term bonds, however, we are unable to reject the expectations theory, in that a steeper yield curve reflects a one-for-one increase in expected future long rates. Here the perverse predictions of the spread reflect investors' failure to raise sufficiently their expectations of future long rates when the short rate rises. We confirm earlier findings that bond rates underreact to short rate changes, but now this result cannot be attributed to the term premium
Author :
Publisher :
ISBN 13 :
Total Pages : 944 pages
Book Rating : 4.:/5 (31 download)
Download or read book Bibliography of Agriculture written by and published by . This book was released on 1990 with total page 944 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Andrew Ang
Publisher : Now Publishers Inc
ISBN 13 : 1601984685
Total Pages : 99 pages
Book Rating : 4.6/5 (19 download)
Download or read book The Efficient Market Theory and Evidence written by Andrew Ang and published by Now Publishers Inc. This book was released on 2011 with total page 99 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis (EMH) asserts that, at all times, the price of a security reflects all available information about its fundamental value. The implication of the EMH for investors is that, to the extent that speculative trading is costly, speculation must be a loser's game. Hence, under the EMH, a passive strategy is bound eventually to beat a strategy that uses active management, where active management is characterized as trading that seeks to exploit mispriced assets relative to a risk-adjusted benchmark. The EMH has been refined over the past several decades to reflect the realism of the marketplace, including costly information, transactions costs, financing, agency costs, and other real-world frictions. The most recent expressions of the EMH thus allow a role for arbitrageurs in the market who may profit from their comparative advantages. These advantages may include specialized knowledge, lower trading costs, low management fees or agency costs, and a financing structure that allows the arbitrageur to undertake trades with long verification periods. The actions of these arbitrageurs cause liquid securities markets to be generally fairly efficient with respect to information, despite some notable anomalies.
Author : Robert E. Baldwin
Publisher :
ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.3/5 ( download)
Download or read book The Stolper-Samuelson Theorem Reconsidered written by Robert E. Baldwin and published by . This book was released on 1989 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: Standard trade theory views the capital stock as an endowment. However, trade policy can affect a country's steady-state capital stock. By ignoring the endogeneity of capital, standard analysis is incomplete and can be misleading. For instance, when capital in endogenous, the Stolper-Samuelson theorem incorrectly predicts the long-run impact of a tariff n factor rewards in a 2-by-2 trade model. Moreover, the output effects of a trade policy can be greatly amplified by its indirect effect on the steady-state capital stock. Since this indirect effect may take a very long time to be fully realized, trade policy can have a long-lasting effect on growth. Ricardo first studied this link between trade and steady-state factor supplies.
Author :
Publisher :
ISBN 13 :
Total Pages : 598 pages
Book Rating : 4.:/5 (34 download)
Download or read book Working Paper Series written by and published by . This book was released on 1989 with total page 598 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Wing-Keung Wong
Publisher : Mdpi AG
ISBN 13 : 9783036530802
Total Pages : 232 pages
Book Rating : 4.5/5 (38 download)
Download or read book Efficiency and Anomalies in Stock Markets written by Wing-Keung Wong and published by Mdpi AG. This book was released on 2022-02-17 with total page 232 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Efficient Market Hypothesis believes that it is impossible for an investor to outperform the market because all available information is already built into stock prices. However, some anomalies could persist in stock markets while some other anomalies could appear, disappear and re-appear again without any warning. A Special Issue on "Efficiency and Anomalies in Stock Markets" will be devoted to advancements in the theoretical development of market efficiency and anomaly in the Stock Market, as well as applications in Stock Market efficiency and anomalies.
Author : Warwick J. McKibbin
Publisher :
ISBN 13 :
Total Pages : 72 pages
Book Rating : 4.3/5 ( download)
Download or read book The McKibbin-Sachs Global Model written by Warwick J. McKibbin and published by . This book was released on 1989 with total page 72 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents the theoretical underpinnings of the MSG2 simulation model of the world economy. The MSG2 model is a dynamic general equilibrium model of the world economy which pays particular attention to the relation between stocks and flows and intertemporal constraints. The formation of expectations also plays an important role in the model. In the version presented here the world is divided into the U.S., Japan, Germany, the rest of the EMS, and the rest of the OECD, non-oil developing countries and OPEC.
Author : John Maynard Keynes
Publisher : Springer
ISBN 13 : 3319703447
Total Pages : 430 pages
Book Rating : 4.3/5 (197 download)
Download or read book The General Theory of Employment, Interest, and Money written by John Maynard Keynes and published by Springer. This book was released on 2018-07-20 with total page 430 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book was originally published by Macmillan in 1936. It was voted the top Academic Book that Shaped Modern Britain by Academic Book Week (UK) in 2017, and in 2011 was placed on Time Magazine's top 100 non-fiction books written in English since 1923. Reissued with a fresh Introduction by the Nobel-prize winner Paul Krugman and a new Afterword by Keynes’ biographer Robert Skidelsky, this important work is made available to a new generation. The General Theory of Employment, Interest and Money transformed economics and changed the face of modern macroeconomics. Keynes’ argument is based on the idea that the level of employment is not determined by the price of labour, but by the spending of money. It gave way to an entirely new approach where employment, inflation and the market economy are concerned. Highly provocative at its time of publication, this book and Keynes’ theories continue to remain the subject of much support and praise, criticism and debate. Economists at any stage in their career will enjoy revisiting this treatise and observing the relevance of Keynes’ work in today’s contemporary climate.
Author : Kyoji Fukao
Publisher :
ISBN 13 :
Total Pages : 56 pages
Book Rating : 4.3/5 ( download)
Download or read book The Fisherian Time Preference and the Evolution of Capital Ownership Patterns in a Global Economy written by Kyoji Fukao and published by . This book was released on 1989 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Author : Roger E. A. Farmer
Publisher :
ISBN 13 :
Total Pages : 62 pages
Book Rating : 4.3/5 ( download)
Download or read book AIL Theory and the Ailing Phillips Curve written by Roger E. A. Farmer and published by . This book was released on 1989 with total page 62 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper presents empirical evidence from U.S. data of a structurally stable aggregate supply relationship between real and nominal rates of interest and the rate of unemployment. The paper reviews theories of contracts that are based on the twin assumptions of asymmetric information and limited collateral and it argues that these theories (referred to as A.I.L. theories) provide a strong theoretical foundation for a contract-based theory of aggregate supply. It is suggested that the original Phillips curve estimates should be reinterpreted in the light of A.I.L. theories which represent alternatives to the Phelps-Friedman interpretation of the Phillips relationship.
