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The Level and Volatility of Interest Rates in the United States : The Roles of Expected Inflation, Real Rates, and Taxes

Makin, John H. - 1983

implications of a broad range of U.S. tax code provisions for behavior of interest rates. Determinants of interest rate volatility …

Persistent link: https://www.econbiz.de/10012477933

Predictable Stock Returns in the United States and Japan : A Study of Long-Term Capital Market Integration

Campbell, John Y. - 1989

This paper studies the predictability of monthly excess returns on equity portfolios over the domestic short-term interest rate in the U.S. and Japan during the period 1971:1-1989:3. The paper finds that similar variables, including the dividend-price ratio and interest rate variables, help to...

Persistent link: https://www.econbiz.de/10012475846

Volatility in an Era of Reduced Uncertainty : Lessons from Pax Britannica

Brown, William O. - 2005

Although it has been well established that financial volatility is related to news and macroeconomic shocks, there has … consol returns since 1729 and identify a greater-than-50% decline in volatility from the end of the Napoleonic wars in 1815 … volatility. Underlying political stability under Pax Britannica seems to be a more likely explanation, however …

Persistent link: https://www.econbiz.de/10012467364

Risk Matters : The Real Effects of Volatility Shocks

Fernández-Villaverde, Jesús - 2009

This paper shows how changes in the volatility of the real interest rate at which small open emerging economies borrow … motivate our investigation, we document the strong evidence of time-varying volatility in the real interest rates faced by a … sample of four emerging small open economies: Argentina, Ecuador, Venezuela, and Brazil. We postulate a stochastic volatility …

Persistent link: https://www.econbiz.de/10012463773

The Role of Real Annuities and Indexed Bonds in an Individual Accounts Retirement Program

Brown, Jeffrey R. - 1999

additional real returns associated with common stocks more than compensate for the volatility of prospective payouts. These …

Persistent link: https://www.econbiz.de/10012471795

Short-Term Movements of Long-Term Real Interest Rates : Evidence from the U.K. Indexed Bond Market

Wilcox, James A. - 1985

The central goverment now issues both nominal and iflation indexed long-term bonds in the United Kingdom. The difference in their yields provides one measure of the long-term expevted rate of inflation. The evidence suggests that higher long-term, expected , real yields are associated with...

Persistent link: https://www.econbiz.de/10012477543

Consumer Durables and the Real Interest Rate

Mankiw, N. Gregory - 1983

One important channel through which real interest rates affect aggregate demand is consumer expenditure on durable goods. This paper examines empirically the link between interest rates and consumer durables. Solving for the decision rule relating income and interest rates to consumer demand is...

Persistent link: https://www.econbiz.de/10012477953

Data Gaps and the Policy Response to the Novel Coronavirus

Stock, James H. - 2020

This note lays out the basic Susceptible-Infected-Recovered (SIR) epidemiological model of contagion, with a target audience of economists who want a framework for understanding the effects of social distancing and containment policies on the evolution of contagion and interactions with the...

Persistent link: https://www.econbiz.de/10012482082

Understanding Inflation-Indexed Bond Markets

Campbell, John Y. - 2009

inflation-indexed yields and high short-term volatility of inflation-indexed bond returns do not invalidate the basic case for …

Persistent link: https://www.econbiz.de/10012463635

Fin de Siecle Real Interest Parity

Fujii, Eiji - 2000

We evaluate the recent evidence for real interest parity, focusing on long-term yields. Examining the data on financial instruments of various maturities across the G7 countries, we find substantial differences in the degree of real interest equalization measured at different horizons. In...

Persistent link: https://www.econbiz.de/10012470857

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