ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03646.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03647.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03648.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03649.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03650.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper presents a new methodology, quasilinear estimation, for efficiently estimating economic variables reflected in the prices of corporate securities. For example, ex ante bankruptcy costs are not directly observable, however, if these costs are sufficiently large, then current security prices are affected and bankruptcy costs can be indirectly measured. When bankruptcy costs and other relevant parameters are known, there are many numerical solution techniques that can be used to determine security prices. One technique, the method of lines, is compatible with quasilinear estimation, which has been employed extensively in the physical sciences for the estimation of coefficients in differential equation models. We demonstrate that quasilinear estimation is a potentially reliable and efficient technique for the estimation of corporate bankruptcy costs and the asset variance from security prices.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03651.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03652.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTThis paper examines the relationship between commodity consumption betas and realized commodity futures contract risk premiums. A linear relationship between risk premiums and consumption betas is developed based on a consumption oriented CAPM. The parameters of this linear model are estimated using fourteen commodities.

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03653.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03654.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY

摘要:

ABSTRACTShort‐term interest rates in the United States have been “too high” since October 1979 in the sense that both unconditional and conditional forecasts, based on an estimated vector autoregression model summarizing the prior experience, underpredict short‐term interest rates during this period. Although a nonstructural model cannot directly answer the question of why this has been so, comparisons of alternative conditional forecasts point to the post‐October 1979 relationship between the growth of real income and the growth of real money balances as closely connected to the level and pattern of short‐term interest rates. This finding is consistent with the authors' earlier conclusion, based on analysis of a small structural macroeconometric model, that the high average level of interest rates has been due to a combination of slow growth of (nominal) money supply and continuing price inflation, which together have kept real balances small in relation to prevailing levels of econom

ISSN:0022-1082    

DOI:10.1111/j.1540-6261.1984.tb03655.x

出版商:Blackwell Publishing Ltd    

年代:1984

数据来源: WILEY