This paper reexamines the role of open market operations for short-run effects of monetary policy. Money demand is induced by a cash constraint, while the central bank supplies money exclusively in exchange for securities, discounted with a short-run nominal interest rate. We consider a legal...

In this dissertation I explain the relationship among inflation volatility, rationalbubbles, and asset prices. In addition, I investigate the transmission of asset prices andvolatility among countries.In the second chapter, which deals with the relationship between inflation volatilityand asset...

Did monetary ease in the 1980s cause Japan's bubble, as is often suggested? Drawing on both a new cross-national consideration of the monetary policy-asset price linkage and a re-examination of what actually occurred in Japan 1985-1990, I conclude the bubble was just as likely to occur whatever...

Šiame darbe tikrinama efektyviosios rinkos hipotezė ir ieškomas ARIMA modelis pasirinktai akcijų kainų eilutei. Pakankama akcijų rinkos efektyvumo sąlyga yra atsitiktinio klaidžiojimo hipotezės galiojimas. Dėl to, naudojant autokoreliacijos koeficientų, Box – Pierce Q –...

We use the consumption-based asset pricing model with habit formation to study the predictability and cross-section of returns from the international equity markets. We find that the predictability of returns from many developed countries' equity markets is explained in part by changing prices...

Of the many analytical methods collectively referred to as Modern Portfolio Theory (MPT), the Capital Asset Pricing Model (CAPM) is the most familiar to today?s generation of students of finance. The popularity of the CAPM arises from its success in expressing a powerful theoretical insight in a...

In this paper, we study the asset pricing implication of imprecise knowledge about rare events. Modeling rare events as jumps in the aggregate endowment, we explicitly solve the equilibrium asset prices in a pure-exchange economy with a representative agent who is averse not only to risk but...