Open Access. Powered by Scholars. Published by Universities.®
Finance and Financial Management Commons™
Open Access. Powered by Scholars. Published by Universities.®
- Keyword
Articles 1 - 4 of 4
Full-Text Articles in Finance and Financial Management
A Political Model Of Monetary Policy With Application To The Real Fed Funds Rate, Tony Caporale, Kevin B. Grier
A Political Model Of Monetary Policy With Application To The Real Fed Funds Rate, Tony Caporale, Kevin B. Grier
Economics and Finance Faculty Publications
We construct an empirical model of U.S. monetary policy assuming that the Federal Reserve is an ordinary federal bureaucracy. We use the real Federal Funds rate as our policy measure and show the existence of significant executive, legislative, and bureaucratic influence on the real rate of interest from 1961 to 1996. We find that presidential party is an adequate statistical measure of executive influence and that the voting scores of the Senate Banking Committee leadership best represent legislative influence. We argue that political changes cause systematic and predictable changes in monetary policy.
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Searching For Periods Of Volatility: A Study Of The Behavior Of Volatility In Thai Stocks, Theodore Bos, David K. Ding, Thomas A. Fetherston
Research Collection Lee Kong Chian School Of Business
This paper improves the precision of the useful new procedure of Inclán and Tiao (1994) that estimates variance shift points in a time series. It accomplishes this by incorporating the evidence of Bos and Fetherston (1992) that the linear Brown, Durbin, and Evans (Brown et al., 1975) critical CUSUM of squares boundaries [used by Inclán and Tiao] produce an understatement of instability at the data end points. This is solved by Tanizaki (1995) which, like Bos and Fetherston (1992) and Bos and Fetherston (1995), uses the fact that the CUSUM of squares statistic follows a beta distribution. This study uses …
An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill
An Examination Of The Relationship Between Stock Index Cash And Futures Markets: A Cointegration Approach, Michael A. Pizzi, Andrew J. Economopoulos, Heather M. O'Neill
Business and Economics Faculty Publications
The existence of price discovery, market efficiency and market stability associated with spot and futures markets continues as a prominent discussion among academics, practitioners and regulators. Numerous papers examine the role of price discovery in the futures markets for various types of commodities and financial assets. Generally, the studies by Garbade and Silber (1983), Herbst, McCormack and West (1987), Kawaller, Koch and Koch (1987) and Schroeder and Goodwin (1991) indicate that price discovery occurs more significantly in the futures market compared to the cash market.
The Fischer Black Hypothesis: Some Time-Series Evidence, Tony Caporale, Barbara Mckiernan
The Fischer Black Hypothesis: Some Time-Series Evidence, Tony Caporale, Barbara Mckiernan
Economics and Finance Faculty Publications
We estimate an ARCH-M model to analyze the relationship between the conditional standard deviation of real gross national product (GNP) and its growth rate for the period 1871-1993. We find that variability significantly increases output growth rates. In addition, impulse response functions show that the effect of variability on growth rates is dynamic. These results provide evidence in favor of Black's (1987) business cycle hypothesis.