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Interest rate risk and time‐varying excess returns for Asian property stocks

Hiang Liow, Kim; Huang, Qiong - In: Journal of Property Investment & Finance 24 (2006) 3, pp. 188-210

Purpose – Aims to investigate whether the level and volatility of interest rates affect the excess returns of major Asian listed property markets within a time‐varying risk framework. Design/methodology/approach – A three‐factor model is employed with excess return volatility, interest...

Persistent link: https://www.econbiz.de/10014898130

Recent stock price relationships between Japanese and US stock markets

Kurihara, Yutaka; Nezu, Eiji - In: Studies in Economics and Finance 23 (2006) 3, pp. 211-226

Japanese stock prices and macroeconomic variables under the quantitative easing policy in Japan. Design … deterministic elements of stock prices in Japan. Vector error correction method is applied. Findings – The results indicate that …/value – The Bank of Japan's monetary policy, especially quantitative monetary easing, has not yet been fully determined. The …

Persistent link: https://www.econbiz.de/10015013551

Granger Causality Tests of Stock Returns: The US and Japanese Stock Markets

Mavrides, Marios - In: Managerial Finance 26 (2000) 12, pp. 13-25

This article uses Granger‐causality tests to study the dynamic relationship between stock returns and dividend yields in the American and Japanese equity markets. The “signaling” hypothesis of dividends along with the efficient market hypothesis is considered to : a) explain the strong...

Persistent link: https://www.econbiz.de/10014939538

Validity of the short‐ and long‐run Fisher relationships: an empirical analysis

Shrestha, Keshab; Chen, Sheng‐Syan - In: Managerial Finance 24 (1998) 8, pp. 64-76

short‐run Fisher relationships. Applies them to the UK, USA, Canada and Japan, using 1978‐1997 monthly data and Eurocurrency … relationship for all four currencies in the long run; and for the UK and Japan but not for Canada in the short run, with …

Persistent link: https://www.econbiz.de/10014940346

The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2018

This paper answers fundamental questions that have preoccupied modern economic thought since the 18th century. What is the aggregate real rate of return in the economy? Is it higher than the growth rate of the economy and, if so, by how much? Is there a tendency for returns to fall in the...

Persistent link: https://www.econbiz.de/10011794864

The rate of return on everything, 1870-2015

Jordà, Òscar; Knoll, Katharina; Kuvshinov, Dmitry; … - 2017

Persistent link: https://www.econbiz.de/10011784986

The Fisher Relation in the Great Depression and the Great Recession

Laidler, David - 2013

The Fisher relation played a very different role in debates surrounding the Great Depression and the more recent Great Recession. This paper explores some of these differences, and suggests an explanation for them derived from a sketch of the idea's evolution between the two events, thus...

Persistent link: https://www.econbiz.de/10010291897

Comments on Piazzesi and Schneider's "Bond positions, expectations, and the yield curve"

Faust, Jon - 2008

This working paper comments on Monika Piazzesi and Martin Schneider's 'Bond Positions, Expectations, and the Yield Curve', delivered at the Fiscal Policy and Monetary/Fiscal Policy Interactions conference held at the Atlanta Fed on April 19-20, 2007.

Persistent link: https://www.econbiz.de/10010292346

Bond positions, expectations, and the yield curve

Piazzesi, Monika; Schneider, Martin - 2008

This paper implements a structural model of the yield curve with data on nominal positions and survey forecasts. Bond prices are characterized in terms of investors' current portfolio holdings as well as their subjective beliefs about future bond payoffs. Risk premia measured by an...

Persistent link: https://www.econbiz.de/10010292351

Debt and Interest Rates: The U.S. and the Euro Area

Frankel, Jeffrey; Chinn, Menzie D. - 2007

We find that real interest rates paid on government debt depend significantly upon current and expected future levels of debt, in Europe as in the US. But this result only emerges when we condition on foreign interest rates, illustrating financial international integration. The previously strong...

Persistent link: https://www.econbiz.de/10010295219