A two-stage nonparametric and parametric approach to identifying structural change in the underlying utility function for monetary assets proves useful in exploring the existence, timing, direction, and extent of structural breaks over the 1969-85 period. Divisia monetary aggregates were...

If nominal interest rates have a unit root, but inflation and inflation forecast errors do not, ex-ante real interest rates are argued to have a unit root and are therefore nonstationary. I show that empirical tests for nonstationarity of real interest rates using such a deductive method can be...

Financial economists have not found empirical evidence of a "marking-to-market" effect in Treasury-bill futures contracts, despite a firm theoretical basis for its existence. Therefore, we speculate that confounding effects, possibly due to liquidity preferences, influence futures-forward price...