The continuously compounded (CC) interest rate on a one-month Treasury bill observed at the end of month t-1 is the sum of a CC expected real return and a CC expected inflation rate, Rt-1 = Et-1(rt) + Et-1(It). Two approaches are used to split Rt-1 between its two components. In the first,...

Government stimulus programs that transfer resources to citizens are meant to spur consumption. I examine the effects of stimulus through the lens of the permanent income (PI) hypothesis. The PI model predicts that a temporary increase in income due to stimulus leads to a small increase in...

In a conversation held in June 2016 between Nobel laureate Eugene Fama of the University of Chicago and Joel Stern, chairman and CEO of Stern Value Management, Professor Fama revisited some of the landmarks of “modern finance,” a movement that was launched in the early 1960s at Chicago and...

Variation in monthly metropolitan area house prices unrelated to future rents clouds forecasts of rents from price-rent ratios and lagged changes in house prices. If this noise in house prices is correlated across areas, the problem is mitigated by measuring rent growth regression variables net...