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Commodity prices and monetary policy

Joseph A. Whitt, Jr. - Federal Reserve Bank of Atlanta - 1988

Persistent link: https://www.econbiz.de/10005402039

On the economic outlook and the commitment to price stability

Lockhart, Dennis P. - Federal Reserve Bank of Atlanta - 2009

Remarks at the Rotary Club of Nashville, Nashville, Tennessee, July 20, 2009

Persistent link: https://www.econbiz.de/10010726510

Option pricing with random volatilities in complete markets

Eisenberg, Laurence K.; Jarrow, Robert A. - Federal Reserve Bank of Atlanta - 1991

Persistent link: https://www.econbiz.de/10005721625

Spline methods for extracting interest rate curves from coupon bond prices

Waggoner, Daniel F. - Federal Reserve Bank of Atlanta - 1997

Cubic splines have long been used to extract the discount, yield, and forward rate curves from coupon bond data. McCulloch used regression splines to estimate the discount function, and, more recently, Fisher, Nychka, and Zervos used smoothed splines, with the roughness penalty selected by...

Persistent link: https://www.econbiz.de/10005721697

Jump risk, time-varying risk premia, and technical trading profits

Feng, Chenyang; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1997

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P...

Persistent link: https://www.econbiz.de/10005401866

Risk neutral valuation, asymmetric information, and the efficient markets hypothesis

Madrigal, Vicente; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1992

Persistent link: https://www.econbiz.de/10005401894

Testing term structure estimation methods

Bliss, Robert R. - Federal Reserve Bank of Atlanta - 1996

the discount rate function directly to bond prices. ; The tests demonstrate the dangers of in-sample goodness-of-fit as … detect misspecification of the underlying pricing equation relating the term structure to bond prices. These tests establish … the presence of unspecified, but nonetheless systematic, omitted factors in the prices of long maturity notes and bonds …

Persistent link: https://www.econbiz.de/10005401949

Nonaddictive habit formation and the equity premium puzzle

Shrikhande, Milind M. - Federal Reserve Bank of Atlanta - 1996

I analyze a model in a simple representative-agent economy with one risky and one riskless asset, populated by habit-forming consumer-investors. These consumer-investors exhibit nonaddictive habit formation in the sense that the current consumption rate of the consumer-investors can fall below...

Persistent link: https://www.econbiz.de/10005402008

Some implications of risk neutrality for time variation in stock returns

Best, Ronald W.; Smith, Stephen D. - Federal Reserve Bank of Atlanta - 1993

Persistent link: https://www.econbiz.de/10005514537

A new method of testing pricing models as applied to forward interest rate models

Cohen, Hugh; Heath, David - Federal Reserve Bank of Atlanta - 1992

Persistent link: https://www.econbiz.de/10005514578