This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently...

In theory, Federal debt management policy potentially plays an important role in determining Treasury and private security yields. However, empirical studies have been unable to detect any significant effects from Federal debt management. In large part the insignificance of relative asset supply...

This paper summarizes some recent work in which we have modeled long-term interest rate determination in an explicit demand-supply context, using multi-equation structural models and directly contrasts such models with unrestricted reduced-form models. Wholly apart from questions of...

The estimation and simulation results of a disaggregated structural model of u\U.S. security markets are presented in this paper. The model consists of estimated demands for corporate bonds, equities, and four distinct maturity classes of Treasury securities by 11 categories of investors. The...

This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown...

The financial market's understanding of Federal Reserve behavior is used to examine recent changes in monetary policy. Changes in the level of interest rats in response to specific types of economic information are primarily considered. Differences in the volatility of interest rates across...

Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several conclusions. First, most depreciation of the yen (appreciation of the dollar) from late 1982 to...

Evidence on the relationship between unanticipated money and interestrates has been provided by two types of studies. First, several researchers have investigated the relationship using quarterly data. Second, a number of researchers have examined the effect of money announcement surprises on...

This paper derives an estimation procedure which, when the same distributed lag appears twice in an equation to be estimated by least-squares regression, identifies all of the relevant coefficients and lag weights and also constrains the two sets of individual lag weights to be identical. The...

The response of interest rates to money announcement surprises is examined both theoretically and empirically in this paper. In the theoretical models developed, not only changes in operating procedures, but also reserve requirement systems, are found to potentially affect the response....