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Consumption Risk and International Asset Returns : Some Empirical Evidence

Cumby, Robert E. - 1987

The paper examines if real stock returns in four countries are consistent with consumption-based models of international asset pricing. The paper finds that ex-ante real stock returns exhibit statistically significant fluctuations over time and that these fluctuations cannot be explained by...

Persistent link: https://www.econbiz.de/10012476685

Exchange Rates, Money and Relative Prices : The Dollar-Pound in the 1920's

Clements, Kenneth W. - 1980

This paper applies the analytical framework of the monetary approach to exchange rate determination to the analysis of the Dollar/Pound exchange rate during the first part of the 1920's. The analysis uses monthly data up to the return of Britain to gold in 1925. The equilibrium exchange rate is...

Persistent link: https://www.econbiz.de/10012478716

The Limited Viability of Dual Exchange-Rate Regimes

Frenkel, Jacob A. - 1986

This paper examines the viability of dual exchange-rate regimes. Typically, under such a regime the exchange rates applicable to current-account(commercial) transactions and to capital-account (financial) transactions differ from each other. This difference may be determined in the free market...

Persistent link: https://www.econbiz.de/10012477173

Asset Markets, Exchange Rates and the Balance of Payments

Frenkel, Jacob A. - 1984

This paper, written as a chapter for a Handbook of International Economics, reviews developments in the theory of … of exchange rate theory, starting with the monetary approach to exchange rate determination. Issues discussed in this … framework that views the question of exchange rate determination as part of the general theory of the determination of asset …

Persistent link: https://www.econbiz.de/10012477808

International Interest-Rate and Price-Level Linkages Under Flexible Exchange Rates : A Review of Recent Evidence

Cumby, Robert E. - 1982

Persistent link: https://www.econbiz.de/10012478187

New Methods for Estimating Labor Supply Functions : A Survey

Heckman, James J. - 1982

This paper surveys new methods for estimatifg labor supply functions. A unified framework of analysis is presented. All recent models of labor supply are special cases of a general index function model developed for the analysis o dummy endogenous variables

Persistent link: https://www.econbiz.de/10012478253

Aspects of the Optimal Management of Exchange Rates

Frenkel, Jacob A. - 1981

to world capital markets. On the other hand, the desirability of exchange rate flexibility increases the larger are the …

Persistent link: https://www.econbiz.de/10012478367

Exchange-Rate Expectations and Nominal Interest Differentials : A Test ofthe Fisher Hypothesis

Cumby, Robert E. - 1980

This note tests the hypothesis that nominal interest differentials between similar assets denominated in different currencies can be explained entirely by the expected change in the exchange rate over the holding period. This proposition, often called the "Fisher open" hypothesis or the...

Persistent link: https://www.econbiz.de/10012478598

Flexible Exchange Rates in the 1970's

Frenkel, Jacob A. - 1980

of the purchasing power parity theory and that the deviations from purchasing power parities can be characterized by a …

Persistent link: https://www.econbiz.de/10012478695

Exchange Rates in The 1920's : A Monetary Approach

Frenkel, Jacob A. - 1978

Current views about flexible exchange rate systems are based, to a large extent, on the lessons from the period of the 1920's during which many exchange rates were flexible. This paper re-examines the evidence from the perspective of the recently revived monetary approach (or more generally,...

Persistent link: https://www.econbiz.de/10012478860