Social and Behavioral Sciences Commons^™

Can Duration -- Interest Rate Risk -- And Convexity Explain The Fractional Price Change And Market Risk Of Equities?, David L. Cheney

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

In the last two decades, duration analysis has been largely applied to fixed-income securities. However, since rising and falling interest rates have been determined to be a major cause of stock price movements, equity duration has received a great deal of attention.

The duration of an equity is a measure of its interest rate risk. Duration is the sensitivity of the price of an equity with respect to the interest rate. Convexity is the sensitivity of duration with respect to the interest rate.

The analysis revealed that the fractional price change and market risk of equities can be explained by …

A Comparison Of Models To Forecast Annual Average Potato Prices In Utah, Glade R. Erikson

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

Potatoes are a capital-intensive crop. A farmer who is considering expanding his potato acreage must carefully consider revenue requirements to offset the high costs of raising the crop. A method to forecast annual farm potato prices would be useful not only to the farmer, who is considering potato acreage expansion (or contraction), but also to the potato buyers.

Seven forecasting models were considered: (1) a simultaneous equation model (with five equations); (2) a Box-Jenkins type ARIMA model; (3) an exponential smoothing model; (4) a moving-average model; (5) a trend model; (6) an "opposite" model; and (7) a current, or naive, …

Integration Of Short-Run Exchange Rate Dynamics With Long-Run Equilibrium: An Empirical Analysis, Sugata Biswas

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

This study investigates the linkage between long-run and short-run dynamics of exchange rate determination for the German mark/U.S. dollar quarterly rate for the period 1973-1990. Earlier investigations failed to explicitly take into account the possible nonstationarity of the data set they were using. This study continues the work performed in this area by applying modern econometric techniques to empirical tests of the Dornbusch model. In essence, this study revives the monetary model and determines if the empirical analysis using the German/U.S. case derives elements which are compatible with the monetary theory of exchange rate determination.

Three Essays On Labor Force Participation Rates Among The Fifty States, With Empirical Tests Using Panel Data, John D. Groesbeck

All Graduate Theses and Dissertations, Spring 1920 to Summer 2023

This dissertation examined the theoretical foundations of an individual's labor force participation decision. Further, this dissertation provided empirical analysis of the impact of state tax rates, the duration of unemployment, and household size on male, female, and combined labor force participation rates of the fifty states from 1985 to 1990. Empirical tests showed that: 1) no significant relationship existed between tax variables and participation rates; 2) the duration of unemployment was positively related with participation rates while unemployment was negatively related; 3) service sector growth was positively correlated with longer durations of unemployment; and 4) household size was negatively related …