the female male unemployment rate differential the authors show that bottlenecks in the economy s ability to absorb new entrants do not explain the female male unemployment rate differential in canada the loose attachment of women to the work force explains only one quarter of the differential of overriding importance is the minimum wage if not for minimum wages mature women would have an unemployment rate below that of men relative minimum wages have been falling since 1974 further falls could lead to a negative female male unemployment rate differential and reverse all the standard arguments about a greater female labor force share increasing the natural rate of unemployment

short selling and the price discovery process we show that stock prices are more accurate when short sellers are more active first in a large panel of nyse listed stocks intraday informational efficiency of prices improves with greater shorting flow second at monthly and annual horizons more shorting flow accelerates the incorporation of public information into prices third greater shorting flow reduces post earnings announcement drift for negative earnings surprises fourth short sellers change their trading around extreme return events in a way that aids price discovery and reduces divergence from fundamental values these results are robust to various econometric specifications and their magnitude is economically meaningful the author 2012 published by oxford university press on behalf of the society for financial studies all rights reserved for permissions please e mail journals permissions oup com oxford university press

settlement tax and non synchronous effects in the basis of u k stock index futures abstract the basis in stock index futures markets is analytically and empirically studied in this paper within a no arbitrage cost of carry framework explanatory power improved when the implications of the u k stock exchange settlement system were introduced into the modelling process and until recently with the maturity of the market evidence indicating the presence of non synchronicities between the cash and futures markets was found strong evidence for tax effects upon the basis was not found to be present in the data analysed statistically significant relationships between basis mispricing and volume and volatility were found

the fisher equation controversy a reconciliation of contradictory results where r is the real interest rate assuming that the real interest rate is constant the above equation yields the fisherian prediction of co plete adjustment di dit 1 fisher s empirical findings however indicated only a partial adjustment of nominal interest rates to inflation expectations the contradiction between fisher s theoretical and e pirical findings was confounded further by mundell 11 and tobin 19 who provided theoretical results consistent with fisher s empirical finding of partial adjustment the fascination with deriving theoretical results consistent with fisher s empirical finding continues sargent 14 15 16 visco 20 and fried and howitt 8 have all attempted to provide theoretical justification for the partial adjustment result

monetary policy and liquid government debt abstract we examine the conduct of monetary policy in a world where the supply of outside money is controlled by the fiscal authority a scenario increasingly relevant for many developed economies today central bank control over the long run inflation rate depends on whether fiscal policy is ricardian or non ricardian the optimal monetary policy follows a generalized friedman rule that eliminates the liquidity premium on scarce treasury debt we derive conditions for determinacy under both fiscal regimes and show that they do not necessarily correspond to the taylor principle in addition non ricardian regimes may suffer from multiplicity of steady states when the government runs persistent deficits

the optimal structure of liquidity provided by a self financed central bank self financed central banks without capital and taxes cannot pay the return on capital to both money and national debt the gaps between the returns on capital and public securities are implicit taxes which are shifted forward to commodities that people finance with these securities because taxes on investment are less efficient than taxes on consumption the national debt should earn interest if people use it to finance expenditures that are investment intensive also because money provides short term liquidity raising the return on national debt delays expenditure to the future hence paying interest on national debt brings a resource windfall during transitions

stochastic convenience yield and the pricing of oil contingent claims this paper develops and empirically tests a two factor model for pricing financial and real assets contingent on the price of oil the factors are the spot price of oil and the instantaneous convenience yield the parameters of the model are estimated using weekly oil futures contract prices from january 1984 to november 1988 and the model s performance is assessed out of sample by valuing futures contracts over the period november 1988 to may 1989 finally the model is applied to determine the present values of one barrel of oil deliverable in one to ten years time

gender gaps in unemployment rates in argentina espanolutilizando datos de la encuesta de hogares para el periodo 1995 2001 se estudian los factores que explican el diferencial entre las tasas de desempleo de hombres y mujeres en argentina se encuentra que este diferencial viene explicado no por diferencias en las caracteristicas de ambos grupos sino por diferencias en los rendimientos de mercado de sus caracteristicas en especial aquellos asociados al estado civil por tanto las diferencias en el comportamiento de hombres y mujeres asi como las practicas de los empresarios en relacion al genero de los trabajadores se encuentran detras de este diferencial sin embargo la importancia relativa de estos dos factores en la explicacion de dicho diferencial no esta clara englishusing data from the argentinean household survey for the period 1995 2001 i study the factors that explain the gender gap in unemployment rates using a microeconometric decomposition technique i find that the gender gap in unemployment rates is explained not by differences in the characteristics of men and women but by differences in the labor market returns to their characteristics especially those associated to the marital status hence differences in men s and women s behaviour and the practices of employers towards gender are behind the gender gap however the relative importance of these two factors in explaining the gap is not totally clear

labor market competition among youths white women and others we estimate substitution possibilities among a set of age race sex groups in the labor force the estimates are based on cross section data from smsas in 1969 and they allow us to consider how substitutable adult women are for young women or young men the estimates are used along with assumptions about the extent of wage rigidity and elasticities of labor supply to simulate the direct and indirect effects of the growth of the female labor force on job opportunities for youth assuming rigid wages for young workers and on the wage rates of adult males assuming these wages are flexible this abstract was borrowed from another version of this item

expected inflation and interest rates in a multi asset model a note this paper analyzes the effect of expected inflation on nominal interest rates in a theoretical model with money and two different bond types the inclusion of three assets instead of the usual two causes the effect of expected inflation on the interest rates to deviate from unity depending on the sizes of the wealth and interest rate effects on the various asset demands the effect of expected inflation could even be negative several special cases are also considered and the implications for the interpretation of empirical results are discussed the profession has shown a continuing strong interest in the effect of expected inflation on interest rates both from a theoretical and an empirical perspective fisher s 6 original hypothesis was that there should be a one forone effect so that expected inflation has no effect on the ex ante real interest rate numerous researchers have failed to find that strong an empirical effect on nominal rates however and some have expressed puzzlement over this empirical result the empirical literature includes 1 2 3 5 6 10 13 14 and numerous others theoretical models generally consider a short run situation in which the real rate of return on financial assets is free to deviate from the marginal product of capital the simplest possible such macro model with is lm and vertical aggregate supply curve equations generates the fisher result that dr dir the effect of expected inflation r on the nominal interest rate r equals unity but there are several possible modifications to this model which can drive the value of dr dir either up or down first the mundell 12 effect states that the presence of a real balance effect

job queues discrimination and affirmative action james r fain if employers have different becker type discrimination coefficients for different demographic groups then the implementation of affirmative action may have a differential impact on those groups we estimate two vector autoregressive models of the us economy including the unemployment rates of four demographic groups we find that a job queue existed before the implementation of affirmative action and that affirmative action changed the ordering of the job queue in manner that had a negative impact on nonwhite males we find evidence that affirmative action may have increased the unemployment rate of nonwhite males by increasing their duration of unemployment jel j71 j78 j64 j68 i introduction the relative status of demographic groups in the labor force has been undergoing significant change since the early 1960s throughout this period white females and racial minorities have experienced changes not only relative to white males but also relative to one another one such change is exhibited in relative unemployment rates figure 1 shows differentials in the smoothed unemployment rates using a 12 x 2 centered moving average for white females nonwhite males and nonwhite females for the years 1959 83 one can easily see that the relative unemployment burdens have varied over time focusing first on the two lines that are positive over the entire range one may see that prior to the late 1960s the status of nonwhite individuals especially nonwhite males relative to white females was improving however beginning in the late 1960s this trend reversed the unemployment rate differential between nonwhite males and white females increased from a low of 1 03 in july 1969 to a high of 11 12 in march 1983 similarly after declining during the 1960s the unemployment rate differential between nonwhite females and white females increased from a low of 3 49 in october 1969 to a high of 9 16 in august 1983 these reversals in trend indicate the status of white females relative to both nonwhite males and nonwhite females began improving in the late 1960s figure 1 also shows the status of nonwhite females improved relative to that of nonwhite males during the same time period the unemployment rate differential between nonwhite males and nonwhite females increased from a low of 3 13 in february 1968 to a high of 2 38 in february 1983 these three unemployment rate differentials all declined in the 1960s a time of tremendous social change and strong economic growth but all of these trends reversed direction in the 20 month period from february 1968 to october 1969 after the trend reversal the status of white females improved relative to both nonwhite males and nonwhite females and the status of nonwhite females improved relative to that of nonwhite males to put it another way nonwhite males lost ground relative to both nonwhite females and white females our goal is to examine what role if any the implementation of affirmative action in 1968 had in reversing these trends other possible explanations of the above noted reversal in trends certainly exist but several factors point to affirmative action as a potential cause of these changes first the timing is correct the trends reversed in close proximity to the implementation of affirmative action second whatever caused these reversals affected all minority groups did so within a short 20 month time span and its impact was sustained over a number of years a new federal policy designed to change the way firms hire minorities should have exactly this type of effect finally as we will argue below imposing affirmative action on discriminating employers will not benefit all demographic groups equally discriminating employers will continue to discriminate though the pattern of discrimination may change many of the traditional explanations of changes in relative unemployment rates are unlikely candidates to explain these significant and sustained reversals of longstanding trends

u s treasury bill forward and futures prices for the period 1976 87 forward rates on u s t bills averaged more than 30 basis points above the comparable futures market rates since risk is common to both rates i argue that this difference can be explained by the substitutability of different maturity t bills for money consistent with this hypothesis i find that this difference depends positively on interest rates and the spread between the federal funds and 3 month t bill rates and negatively on the ratio of short term governments to broadly defined money also significant shifts occurred in the relationship in october 1979 and august 1982 coinciding with changes in federal reserve operating procedures copyright 1994 by ohio state university press

balanced budget constraints and the time consistency of optimal policy in a non ricardian economy it has become increasingly apparent that some optimally determined monetary and fiscal policies may be time inconsistent if governments are allowed full discretion over time this is to say that at any point in time a government s announced commitment to a time path of its monetary and or fiscal instruments which seems optimal at the initial date may provide the government with the incentive to renege on the pre announced policy commitment upon re evaluation at a future date the often cited example 8 is of a government which inflates initially to minimize the current reliance on distortionary labour income taxes but promises reduced inflation in the future at a later date it finds it optimal to re evaluate the commitment and initiates a surprise inflation acquiring revenue in a relatively nondistortionary manner if the government s optimal policy is time inconsistent it will not likely be credible from the private sector s perspective as rogoff 16 has described some authors have suggested that the time inconsistency problem may be resolved if the private sector is able to impose reputational costs on the government for reneging on pre announced policies if the cost associated with the loss of reputation is sufficiently high the government may adopt consistent but sub optimal policies while consideration of reputational costs may yield a policy which is time consistent it may be a second best among the set of consistent policies for example a number of authors have suggested 2 3 16 optimal discretionary policies derived when the government is bound by a rule may be consistent and preferred to the optimal unconstrained discretionary policy imposition of the rule creates a pareto improvement since it alleviates the government s incentive to cheat and therefore reduces the social cost of the private sector s reputational enforcement the difficulty with this solution is to derive the appropriate rule the trivial solution is to commit the government to its optimal plan derived at the initial date however this type of rule relieves the government of any discretion after the policy is announced and it is unlikely that any government would restrict its discretionary powers to that extent a preferable rule would be one which restricts only

minimum wages and the gender wage gap estimates are made of the effect of minimum wages on the size and composition of the gender wage gap in canada in 1986 it is found that minimum wages close the wage gap substantially for young workers and less so for adults the reduction in the gap is most attributable to the adverse employment effects of minimum wages the results also indicate that most of the reduction in the gap is realized through a fall in the discriminatory component

soybean inventory and forward curve dynamics we present two results concerning soybean prices first we exhibit a simple relationship between stocks and price volatility the observation of an increasing price volatility with decreasing inventory is often mentioned in the literature but has so far been documented using a proxy for inventory see fama and french 1987 1988 litzenberger and rabinowitz 1995 instead we reconstruct a yearly quarterly and monthly database of worldwide soybean inventories using aggregate data from the united states brazil and argentina we show that under all time scales price volatility is an increasing linear function of inverse inventory which we term scarcity second we show how the addition of the factor scarcity in a state variable approach to the dynamics of the term structure of soybean forward prices improves the quality of the fit we document this property on a 25 year database of cbot futures contracts and show that the superior accuracy also affects long maturity futures contracts an important property for the valuation of long term origination contracts between producing countries and the agrifood industry

federal reserve operating procedures a survey and evaluation of the historical record since october 1979 comment william poole has produced another thoughtful and thought provoking paper two major conclusions emerge from his work first the instability of growth in m1b since october 1979 can be attributed largely to a reluctance by the federal reserve to permit wide enough swings in the federal funds rate second to correct this problem and to promote greater stability in financial markets and the economy the fed ought to replace lagged with contemporaneous reserve accounting and reform the discount window they should then begin to hit a nonborrowed base or reserves target that grows at a steady rate i will organize my comments around these two conclusions i will not comment directly on the other excellent paper in this session by ralph c bryant i will refer to some of bryant s empirical work though in my discussion of the poole paper poole attributes the continued extensive volatility of m1b growth since october 1979 to efforts by the federal reserve to smooth interest rates he concedes that the fed really has let go the federal funds rate to a very considerable extent but he believes that variability in m1b growth over tonger periods is due primarily to the important role accorded interest rates in federal reserve policy making italics mine he cites four reasons for believing that the post october 1979 targeting procedures qualitatively are not very different from the federal funds targeting procedure followed earlier of the four the most interesting and empirically verifiable is that in nearly one third of the weeks since october 1979 the federal funds rate has averaged within 100 basis points of either the bottom or the top of the widened target range during these weeks the constraint on the funds rate might have prevented the fed from hitting its nonborrowed reserves target poole in fact accepts this view uncritically

a study of the impact of sectoral shifts on aggregate unemployment in canada the recent trend in macro economic literature has been to explain cycles in aggregate output and employment in terms of unexpected nominal shocks only in these models the natural rate of unemployment is constant this paper diverges from this approach and following a recent paper by david lilien 1982 considers the impact of real as well as nominal variables the main findings are 1 a significant part of the fluctuations in the canadian unemployment over the 1957 83 period was caused by real shocks to the economy and 2 most of the transmission of the business cycle from the united states to canada is effected through real variables as well une etude de limpact de deplacements sectoriels sur le niveau de ch6mage agrege au canada dans la litterature macroeconomique recente on a eu tendance a expliquer les cycles dans le niveau de la production et de l emploi a peu pres strictement en termes de chocs nominaux non anticipes dans ces modeles le taux de ch6mage naturel est constant ce memoire prend des distances par rapport a cette approche et suit pluto t la direction suggeree par un memoire recent de david lilien qui considere l impact des variables reelles tout autant que celui des variables nominales les resultats principaux sont 1 une portion significative des fluctuations dans le niveau du chomage canadien entre 1957 et 1983 a et causee par des chocs reels subis par l economie 2 le gros de h1 transmission du cycle economique des etats unis vers le canada se fait par le truchement des variables reelles

up close and personal investor sophistication and the disposition effect this paper analyzes the trading records of a major discount brokerage house to investigate the disposition effect the tendency to sell stocks that have appreciated in price winners sooner than stocks that trade below the purchase price losers in contrast to previous research that has demonstrated the disposition effect by aggregating across investors our main objective is to identify differences in the disposition bias across individuals and explain this in terms of underlying investor characteristics building on the findings in experimental economics and social psychology we hypothesize that differences in investor literacy about financial markets and trading frequency are responsible in part for the variation in individual disposition effect using demographic and socioeconomic variables as proxies for investor literacy we find empirical evidence that wealthier individuals and individuals employed in professional occupations exhibit a lower disposition effect consistent with experimental economics trading frequency also tends to reduce the disposition effect we provide guidelines for investment advisors regulators and investment communities to utilize our findings and help investors make better decisions

the growth in involuntary part time employment of men and women this study presents an economic model that explains the growth in involuntary part time employment the results of three stage least squares estimation show that for men and women similar factors have influenced involuntary part time employment its growth has been encouraged by downturns in the business cycle and expansion of the service sector declines in the percent of the population under 5 years of age and increases in the level of skill among the employed have had the opposite effect

the effects of inflation on real interest rates one of the most obvious facts of recent monetary history is that high inflation is associated with high nominal interest rates this association has been interpreted by many as supporting a superneutrality hypothesis that an increase in inflation will not affect real interest rates in the long run however the bulk of the evidence contradicts superneutrality beginning with irving fisher 1896 1930 most empirical investigations have found that fully anticipated inflation has less than a unit effect on nominal interest rates and thus reduces real interest rates even in the longest of runs this has been shown under the assumption that expectations are formed rationally douglas pearce 1979 that they take the form of an arbitrary distributed lag on past inflation rates fisher 1930 william gibson 1970 or that they are accurately represented by the livingstone expectations data pearce kajal lahiri 1976 lawrence summers 1983 attempted to measure the long run effect without an explicit theory of expectations regressing long swings in various nominal interest rates against long swings in inflation over various subintervals from 1860 to 1979 he found coefficients consistently less than unity for the post world war ii era as a whole the coefficients were in the range of 0 5 to 0 75 with standard deviations of 0 08 to 0 33 a few studies have found coefficients close to unity william yohe and denis karnosky 1969 martin feldstein and otto eckstein 1970 gibson 1972 lucas but as several authors have observed thomas sargent 1976 robert shiller 1980 john wood 1981 summers these findings are limited to a particular period of u s history approximately 1953 71 furthermore even a unitcoefficient would contradict superneutrality of the after tax real interest rate which would require a coefficient substantially greater than unity even taking into account the other inflation distortions in the tax system summers calculated that the coefficient ought to lie in the range of 1 3 to 1 5 far higher than observed these empirical findings pose a challenge to traditional monetary theory much of which implies that superneutrality should hold at least approximately for example the model of miguel sidrauski 1967 implies that the real interest rate should equal the marginal product of capital which in the long run should equal the representative household s marginal rate of time preference if this rate of time preference is a constant then in particular it will be independent of the rate of inflation if it is positively related to the household s wealth or utility then inflation can reduce the marginal product of capital somewhat through what are commonly called mundell tobin effects that is higher inflation can reduce the demand for real balances which reduces real wealth which lowers the rate of time preference and leads to further capital accumulation 2 but this real balance effect on saving is commonly recognized to be too small to make department of economics social science centre university of western ontario london canada n6a 5c2 we are grateful to charles adams norman cameron john chilton jacob frenkel david laidler ben mccallum baldev raj brad reid jack weldon john whalley ron winrck and two anonymous referees for helpful discussions and comments on earlier drafts all errors are attributable to transaction costs robert lucas 1980 finds empirical support for the hypothesis which he calls one of the central implications of the quantity theory of money it has also been adopted by a wide range of more eclectic economists as evidenced by its endorsement in two of the most popular macroeconomics textbooks rudiger dornbusch and stanley fischer 1981 pp 454 58 robert j gordon 1978 pp 289 91 2these implications of variable time preference can be drawn almost immediately from the work of hirofumi uzawa 1968 a graphical analysis is presented by david laidler 1969b who focuses on the logically equivalent question of the effects of paying interest on money

job queues and the union status of workers this paper develops a model of the determination of the union status of workers that allows for the possibility of queuing for union jobs the empirical results derived using a sample from the university of michigan panel study of income dynamics are supportive of the queuing hypothesis the no queue model can be rejected using a likelihood ratio test this suggests that a simple probit or logit model for union status is misspecified because it is not based on any consistent behavioral theory an important implication of the model is that because most new entrants to the labor market prefer union jobs but cannot get them and because accrual of nonunion seniority makes workers progressively less likely to desire union jobs the union status of workers is largely determined by their success in being selected from the queue early in their working life

money bonds and foreign exchange in the theory of finance capital markets provide securities which allow the ownership of productive assets to be allocated among investors according to their willingness to bear risk in exchange for return and independently of their tastes for the productive services provided by the assets this paper uses the theory of finance to study the role of money as a productive asset and the transformation of money into a portfolio asset true to its purpose the capital market provides securities nominal bonds that allow an allocation of the current services of the money supply according to its current productivity and without regard for its future purchasing power risk and an allocation of the future purchasing power risk of the money supply according to the willingness of investors to bear this risk in exchange for return and without regard for investor needs for the future transactions services of money in open

causes and consequences of layoffs using probit analysis this article finds that differential treatment accounts for a substantial portion of the higher layoff rates of blacks in comparison to whites however women are found to be considerably less prone to layoffs than men with similar characteristics among those who obtained subsequent employment taking into account the possible selectivity bias in such a subsample white males are hurt more by layoffs than black males in terms of both short term and long term earnings growth women s earnings are not necessarily affected by layoff at all however whites and males are found to be more likely to be reemployed than blacks and females respectively

a quantitative exploration of the role of short term domestic debt in balance of payments crises abstract the quantitative implications of a model of balance of payments crises are explored the model analyzes government sterilization of capital outflows through low interest rates on domestic debt this prevents a collapse in money demand but instead leads to a collapse in bond demand and therefore an increase in central bank domestic credit the theory s implications are consistent with the mexican experience of 1994 but much less so with indonesia in 1997 and brazil in 1998

a nominal theory of the nominal rate of interest and the price level this paper develops a simple theory of nominal income and interest determination under the assumption that the only relevant distinction between money and bonds lies in their holding periods individuals take full account of the government budget constraint and do not concern themselves with discounting future tax liabilities associated with the issue of government bonds according to this theory the price of bonds is analogous to the price level and the nominal rate of interest is determined by the bond money ratio and bears no close relationship to the rate of expansion of the price level

an empirical analysis of implicit delivery options in the treasury bond futures contract abstract assuming perfect frictionless and efficient markets this paper develops a framework to estimate the composite value of the quality wild card and end of month options implicit in the t bond futures contract the value of delivery options is shown to be the excess of forward price of the cheapest bond over its conversion factor times the exercise price of futures contract empirical results indicate that the option values over the last quarter of the nearby contract are on average less than 0 5 percent of the mean futures price which is substantially lower than the value reported by previous studies further scrutiny reveals that although the empirical estimates are contaminated by non synchronous bond data they are consistent with certain known theoretical properties of option values

the fisher hypothesis a critique of recent results and some new evidence the fisher hypothesis 5 that nominal interest rates should respond point for point to changes in the expected inflation rate while theoretically appealing has had limited success in explaining actual interest rate movements most empirical work has shown that net after tax nominal interest rates are not as sensitive to changes in expected inflation as the hypothesis suggests they should be more troublesome still are the results of two recent studies carmichael and stebbing 3 4 hereafter cs and amsler 1 turn the fisher hypothesis on its head by demonstrating that net nominal yields on financial assets do not respond at all to changes in the expected inflation rate rather the net real yield on these assets falls point for point with increases in the expected inflation rate

continuous time methods in finance a review and an assessment i survey and assess the development of continuous time methods in finance during the last 30 years the subperiod 1969 to 1980 saw a dizzying pace of development with seminal ideas in derivatives securities pricing term structure theory asset pricing and optimal consumption and portfolio choices during the period 1981 to 1999 the theory has been extended and modified to better explain empirical regularities in various subfields of finance this latter subperiod has seen significant progress in econometric theory computational and estimation methods to test and implement continuous time models capital market frictions and bargaining issues are being increasingly incorporated in continuous time theory the roots of modern continuous time methods in finance can be traced back to the seminal contributions of merton 1969 1971 1973b in the late 1960s and early 1970s merton 1969 pioneered the use of continuous time modeling in financial economics by formulating the intertemporal consumption and portfolio choice problem of an investor in a stochastic dynamic programming setting merton 1973b also showed how such a framework can be used to develop equilibrium asset pricing implications thereby significantly extending the asset pricing theory to richer dynamic settings and expanding the scope of applications of continuous time methods to study problems in financial economics 1 within a span of about 30 years from the publication of merton s inf luential papers continuous time methods have become an integral part of financial economics indeed in certain core areas in finance such as e g asset pricing derivatives valuation term structure theory and portfolio selection continuoustime methods have proved to be the most attractive way to conduct research and gain economic intuition the continuous time approach in these areas has produced models with a rich variety of testable implications the econometric theory for testing continuous time models has made rapid strides in the last decade and has thus kept pace with the impressive progress on the theoretical front one hopes that the actual empirical investigations and estimation using the new procedures will follow suit soon

sectoral shifts and cyclical unemployment a substantial fraction of cyclical unemployment is better characterized as fluctuations of the frictional or natural rate than as deviations from some relatively stable natural rate shifts of employment demand between sectors of the economy necessitate continuous labor reallocation since it takes time for workers to find new jobs some unemployment is unavoidable this paper presents evidence that most of the unemployment fluctuations of the seventies unlike those in the sixties were induced by unusual structural shifts within the u s economy simple time series models of layoffs and unemployment are constructed that include a measure of structural shifts within the labor market these models are estimated and a derived natural rate series is constructed

a continuous time equilibrium model of forward prices and futures prices in a multigood economy abstract this paper is a theoretical investigation of equilibrium forward and futures prices we construct a rational expectations model in continuous time of a multigood identical consumer economy with constant stochastic returns to scale production using this model we find three main results first we find formulas for equilibrium forward futures discount bond commodity bond and commodity option prices second we show that a futures price is actually a forward price for the delivery of a random number of units of a good the random number is the return earned from continuous reinvestment in instantaneously riskless bonds until maturity of the futures contract third we find and interpret conditions under which normal backwardation or contango is found in forward or futures prices these conditions reflect the usefulness of forward and futures contracts as consumption hedges

gender gaps in unemployment rates in oecd countries in some oecd countries the male and female unemployment rates are very similar but in others notably the mediterranean countries the female unemployment rate is much higher than the male explaining these cross country differences is the subject of this article we show that in countries where there is a large gender gap in unemployment rates there is a gender gap in both flows from employment into unemployment and from unemployment into employment we conclude that differences in human capital accumulation between men and women interacted with labor market institutions is an important part of the explanation

trends in earnings differentials by gender 1971 1981 this paper clarifies trends in relative earnings by sex over the decade 1971 1981 and decomposes these trends to determine which factors contributed to a decline and which to an increase our analyses are based upon data from the annual demographic files of the current population survey for 1972 and 1982 this study is unique in that it estimates earnings functions in each year which are corrected for selectivity bias it is found that such a correction markedly raises the progress of white women relative to men among blacks the impact of the selectivity bias correction was to substantially lower the relative earnings increase of women however the coefficients on the selectivity variable were not significant the findings suggest declining sex role specialization and discrimination as conventionally measured over the decade on the other hand contrary to expectations the total effect of variables reflecting the sex composition of the individuals occupation worked to widen the sex differential over the period the sex differential was also adversely affected by a decline in the relative return to education especially for whites authors modified

real interest rates anticipated inflation and unanticipated money a multi country study a bstractin this paper we examine real interest rate behavior in canada west germany the united states and the united kingdom using a model that yields a semi reduced form equation linking the real interest rate to monetary growth shocks anticipated inflation and expected inflation variance the estimator used in our analysis accommodates regressors from other regressions ensuring that accurate inferences are obtained in all countries we find that increases in anticipated inflation initially dampen real interest rates in addition a significant and negative relationship between unanticipated money shocks and real interest across all countries is discovered inflation variance typically exhibits little explanatory power

green expectations current effects of anticipated carbon pricing i report evidence that an anticipated strengthening of environmental policy increased emissions i find that the breakdown of the u s senate s 2010 climate effort generated positive excess returns

sources of variation in international real interest rates this paper analyses the effects of inflation on ex post real interest rates in an international framework a dynamic factor model is estimated in which real interest rates are influenced by real interest and inflation factors that are common to all the countries and by country specific factors we find that the source of domestic inflation is an important determinant of the effect of inflation on real interest rates a common inflation factor has a negative effect on ex post real interest rates lending support to a form of the mundell tobin effect in international real interest rates and that a country specific inflation factor tends to have a positive effect

a monetary explanation of the equity premium term premium and risk free rate puzzles this paper develops and estimates a monetary model that offers an explanation of some puzzling features of observed returns on equities and default free bonds the key feature of the model is that some assets other than money play a special role in facilitating transactions which affects the rate of return that they offer the model is capable of producing a low risk free rate a high equity premium and an average positive relationship between maturity and term premium for default free bonds the model s implications for the joint distribution of asset returns velocity inflation money growth and consumption growth are also compared to the behavior of these variables in the u s economy

conditional time varying interest rate risk premium evidence from the treasury bill futures market existing studies of the term structure of interest rates often use spot treasury rates to represent default free interest rates however part of the premium in treasury rates is compensation for the risk that short sellers may default since treasury bill futures are default free they provide cleaner data to estimate the interest rate risk premium the mean excess return in defaultfree treasury bill futures is zero this suggests that the interest rate risk premium could be economically negligible we find that although the mean unconditional premium is zero futures returns contain economically and statistically significant time varying conditional interest rate risk premiums the conditional premium depends significantly positively on its own conditional variance and its conditional covariance with the equity premium the conditional premium is large in the volatile 1979 82 period but small afterwards

do individual short sellers make money evidence from korea abstract we use a proprietary trade and account level dataset of short sales to investigate the profitability of individual investors short selling in the korean stock market from august 1 2007 to may 31 2010 using actual data on short covering transactions we find that the average profit is 26 810 korean won roughly usd 24 4 per trade per hour and about 44 of shorted trades are covered within a day we also find that the profitability of short selling decreases as the hours to cover increases account level analyses show that investors who sell short more firms make higher profits than those who sell short fewer firms and that the profitability of short selling is persistent we attribute the profitability to short sellers ability to exploit short run price reversals and information processing skills

the effects of expected inflation on real returns in the argentine indexed bond market abstract a relatively unrestricted market in goverment indexed bonds operated in the high inflation argentine economy from 1975 through 1982 the indexed bond yields from this period provide an interesting opportunity to examine the relation between real interest rates and expected inflation the test results support the hypothesis that expected inflation is a significant source of variation in real interest rates depressing the real yields on indexed bonds

impact of the worker s employment probability on wage rates the employment probability is a significant determinant of the worker s wage rate expecially in the presence of employers hiring discrimination several tests suggest that the omission of this variable in the wage regression may lead to misspecification

estimation of the us federal job queue in the presence of an endogenous union queue past research on the federal sector job queue fails to incorporate the important role of unioniz ation we estimate a two stage bivariate probit in which the willingness of a worker to queue for a union job enters the estimation of the federal queue we demonstrate that the failture to implement our approach may lead to the inappropriate conclusion that there does not exist a federal queue in the us labour market we identify the characteristics that lead workers to seek employment in the federal sector and as a byproduct also provide independent confirm ation of the presence of a queue for union jobs ability in bivariate probit models to examine job queues abowd and farber 1982 use poirier s technique and find evidence of a queue of workers waiting for union jobs they estimate separate equations determining which character istics make a worker more likely to enter the queue and which characteristics make a worker more likely to be chosen from the queue indeed farber 1983 leigh 1985 and heywood 1990 have all reaffirmed the existence of a union queue under varying degrees of partial observability recently venti 1987 krueger 1988 and heywood and mohanty 1990 have examined whether or not a queue exists for federal government jobs while this research confirms the existence of a federal queue it fails to incorporate the earlier research indicating the presence of a union queue indeed none of the authors controls for any dimension of unionization in the federal queue esti mates this failure is problematic for several related reasons first heywood and mohanty 1994 demonstrate that statistical confirmation of a federal job queue is highly sensitive to specification particularly the inclusion or exclusion of specific variables 2 second the federal sector is far more heavily unionized than the private sector see freeman 1986 1988 ichniowski 1988 and reder 1988 thus if the earlier research is correct and workers do queue for union

forward contracts and futures contracts abstract this paper provides a detailed discussion of the similarities and differences between forward contracts and futures contracts under frictionless markets and continuous trading simple arbitrage arguments are invoked to value forward contracts to relate forward prices and spot prices and to relate forward prices and futures prices we also argue that forward prices need not equal futures prices unless default free interest rates are deterministic

further evidence on the fisher effect the strong form of the fisher hypothesis states that the nominal rate of interest fully adjusts to anticipated inflation weaker forms of the hypothesis identify circumstances where the nominal interest rate either overadjusts or underadjusts previous tests of the hypothesis using australian data and error correction techniques have found conflicting results vector autoregressive innovations are used to estimate the fisher equation and in general the strong form of the hypothesis is rejected in favour of underadjustment however the strong form of the hypothesis cannot be rejected in the period following deregulation of the financial system

employment and labour supply effects of the minimum wage some pooled time series estimates from canadian provincial data in this paper the effect of minimum wages on employment and labour supply and hence on unemployment is examined using canadian provincial data for the period 1975 9 the analysis here differs from most previous studies in several important ways for example the minimum wage variable in the regression analysis is the minimum wage rate only rather than a composite of the minimum wage rate and coverage the demand variation variable here is real output rather than the endogenous prime age male unemployment rate and the analysis includes the impact of the minimum wage on the employment and supply of adult age groups as well as teenagers our results show that the minimum wage has a significant negative effect on the employment and labour force levels of most age sex groups and a significant positive effect on the unemployment rates of all age sex groups we conclude that the employment and unemployment effects of the minimum wage are stronger and more broadly felt than was previously realized les effets d emploi et d offre de travail du salaire minimum certaines calibrations a partir d une composition des series chronologiquesprovinciales au canada ce memoire examine a partir de donnees provinciales pour la periode 1975 9 l effet de salaires minima sur l emploi et l offre de travail et donc sur le chomage l analyse differe de celles presentees dans les etudes anterieures de multiples fagons par exemple la variable salaire minimum retenue dans l analyse de regression est le taux de salaire minimum plutot qu une variable composant le taux de salaire minimum et sa couverture la variable qui enregistre la variation de la demande est le niveau de production reelle plutot que le taux de chomage endogene de la population masculine dans la force de l age et l analyse calibre l impact du salaire minimum sur l emploi et l offre de travail tant des groupes adultes que des jeunes gens les resultats montrent que le salaire minimum a un effet negatif significatif sur l emploi et l offre de travail de la plupart des groupes selon l age et le sexe et un impact positif significatif sur le taux de chomage de tous les groupes on conclut que les effets d emploi et de chomage du salaire minimum sont plus forts et plus repandus qu on ne l avait cru this paper is both an extension and abridgement of the authors university of victoria department of economics discussion paper 82 6 entitled an empirical analysis of the employment and labour supply effects of the minimum wage in canada 1975 79 this research has been supported in part by a university of victoria faculty research grant we would like to acknowledge with thanks the research assistance of neil muth mark muth and ingrid strauss and the helpful comments of the editor and two anonymous referees of this journal canadian journal of economics revue canadienne d economique xvi no 1 february f6vrier 1983 printed in canada imprime au canada 0008 4085 83 0000 0086 01 50 1983 canadian economics association this content downloaded from 157 55 39 176 on sat 09 apr 2016 07 05 12 utc all use subject to http about jstor org terms employment and labour supply effects 87

exploiting the conditional density in estimating the term structure an application to the cox ingersoll and ross model we propose an empirical method that utilizes the conditional density of the state variables to estimate and test a term structure model with known price formulae using data on both discount and coupon bonds the method is applied to an extension of a two factor model due to cox ingersoll and ross 1985 cir our results show that estimates based on only bills imply unreasonably large price errors for longer maturities we reject the original cir model using a likelihood ratio test and conclude that the extended cir model also fails to provide a good description of the treasury market

do us employers discriminate against females when hiring their employees using johnson s decomposition technique this paper demonstrates that the disappearance of the gap between female and male unemployment rates in the united states during the last decade results partly from a general hiring policy that is favourable to women workers this conclusion holds for workers in five out of eight occupational subsamples considered the sign and size of unexplained female male unemployment rate differential estimated from 1969 1977 and 1987 cps data suggest that hiring discrimination against females in the us labour market has declined considerably during the last two decades the study also supports the earlier finding that the growth of employment in government and in the female dominated service sector and migration of workers from the south to other regions contribute significantly to the convergence of male and female unemployment rates in the 1980s

daily momentum and contrarian behavior of index fund investors we use a two year panel of individual accounts in an s p 500 index mutual fund to examine the trading and investment behavior of more than 91 000 investors who have chosen a low cost passively managed vehicle for savings we identify classes of momentum investors and contrarian investors we use these classes to build up behavioral factors based on contrarian and momentum flows and we show that they are relevant for pricing they perform well against a benchmark of loadings on latent factors extracted from returns

innovations new market instruments any measure of the volume of financial innovation would register an explosion in the last ten years for example the swap market has grown from zero to hundreds of billions of dollars in this period the number of traded financial futures contracts has increased from a handful to nearly one hundred the explosion is one of both scale and variety even the british government now issues gilts with non standard coupon rates and conversion features apparently tailored to a whole range of specialised clienteles

international evidence on the long run impact of inflation in this paper i use a structural vector autoregression framework to analyze the effects of a permanent change in inflation on the long run real interest rate and real output level in 14 industrialized countries long run monetary superneutrality is rejected for all 14 countries using annual data the results indicate that a permanent increase in inflation lowers the long run real interest rate in each country a permanent increase in inflation also increases the long run real output level in a number of countries long run monetary superneutrality is also rejected for four out of the five countries examined using quarterly data under long run monetary superneutrality lrsn a per

short interest explanations and tests cross sectional and time series tests are performed to explain levels and changes in short interest explanatory variables and tests are chosen based on tax arbitrage and speculative reasons for going short short interest is found to follow a seasonal pattern that is weakly consistent with tax based trading stocks with high betas and the existence of convertible securities or options tend to have higher levels of short interest which is con sistent with arbitrage efforts for firms with traded options there is a positive association between the month to month changes in option open interest and short interest prior months returns and changes in short interest are positively related but there is no rela tionship between changes in short interest and returns in the subsequent month

the unemployment rates of men and women a transition probability analysis women s unemployment rates were considerably higher than men s for many years but during the 1980s this difference has virtually disappeared this study is the first to examine that change through an analysis of trends in the probabilities of labor force transitions movements between employment unemployment and nonparticipation in the labor force using bls data the authors find that about half of the narrowing of the unemployment rate differential during the 1968 85 period was due to the increasing labor force attachment of women and the decreasing attachment of men the other half reflects changes in men s and women s tendencies to move between employment and unemployment which the authors attribute primarily to the secular decline of male dominated industries

index futures arbitrage and the behavior of stock index futures prices this article examines intraday transaction datafor s p 500 stock indexfutures prices and the intraday quotes for the underlying index the data indicate that thefutures price changes are uncorrelated and that the variability of these price changes exceeds the variability ofprice changes in the s p 500 index this excess variability of the futures over the index remains even after controlling for the nonsynchronous prices in the index quotes which induces autocorrelation in the index changes we advance and examine empirically two hypotheses regarding the difference between the futures price and its theoretical value that this mispricing increases on average with maturity and that it is path dependent evidence supporting these hypotheses is presented

male female differences in hourly wages the role of human capital working conditions and housework this study uses a new data set from a 1986 survey of workers to examine simultaneously the wage effects of human capital household responsibilities working conditions and on the job training the analysis suggests that household responsibilities had a negative effect on women s earnings but the unexplained difference between the earnings of men and women is not greatly reduced by inclusion in the explanatory model of information on either housework or working conditions the presence of children appears to have had a positive effect on the wages of both men and women t wenty years of research on gender differences in earnings have failed to explain the entire wage gap as a consequence of measured differences between male and female workers some researchers view the unexplained residual as evidence of discrimination against female workers others take the position that the entire wage gap is potentially explicable by differences in labor supply according to the latter view an unexplained wage gap remains because the data sets in use do not contain adequate information on all productivity related characteristics this view implies that the unexplained wage gap will be reduced by more comprehensive infor

socialist structural gaps a simultaneous inference analysis this paper reconsiders the statistical evidence for the presence of urbanization and employment gaps for socialist economies professor gur ofer s original work on the existence of such gaps is expanded in three specific ways first the data are expanded to include many more countries and time periods second this paper uses a slightly more sophisticated form of ofer s original model third and most important this paper presents a more sophisticated statistical analysis of the country gap estimates developed by ofer in particular simultaneous inference tests t tests for the individual country gaps and means replacement technique tests for the presence of a gap in averages are applied the simultaneous inference test results which utilize the information on all socialist economies simultaneously are contrasted with two variants of non simultaneous tests that have not been applied in this ocntext but which have been used frequently in other contexts copyright 1989 by mit press

why do women have longer durations of unemployment than men in post restructuring urban china this paper provides the first systematic analysis of the reasons why women endure longer unemployment durations than men in post restructuring urban china this analysis is based upon data obtained from a national representative household survey rejecting the view that women are less earnest than men in their desire for re employment this analysis shows that women s job search efforts are handicapped by a lack of access to social networks unequal entitlement to social re employment services higher earnings losses from job separations for women and unfair treatment of women with respect to mandatory retirement

the short selling skill of institutions and individuals abstract using market wide data from the brazilian stock lending market at the deal level we find strong evidence of short selling skill for institutions and individuals skilled short sellers present out of sample performance persistence exploring the granularity of our dataset we find that skilled short sellers do not display the disposition effect are more likely to pick value liquid high volatility and losing stocks and to initiate a short position before earnings announcements and around sell recommendations

transactions technology and the time consistency of optimal policy abstract in a perfect foresight continuous time model of the macro economy turnovsky and brock 1980 have demonstrated that the government s choice of an optimal policy will be time inconsistent only if it is bound by a k rule regarding the growth of nominal monetary balances this result is shown to be invalid when bonds bear a liquidity yield under such circumstances it is shown that all optimal policies are time inconsistent the conclusion is that the liquidity properties of the government s financing instruments play an important role in determining the consistency properties of its optimal policies

pricing of long dated commodity derivatives do stochastic interest rates matter abstract does modelling stochastic interest rates beyond stochastic volatility improve pricing performance on long dated commodity derivatives to answer this question we consider futures price models for commodity derivatives that allow for stochastic volatility and stochastic interest rates and a correlation structure between the underlying variables we examine the empirical pricing performance of these models on pricing long dated crude oil derivatives estimating the model parameters from historical crude oil futures prices and option prices we find that stochastic interest rate models improve pricing performance on long dated crude oil derivatives when the interest rate volatility is relatively high furthermore increasing the model dimensionality does not tend to improve the pricing performance on long dated crude oil option prices but it matters for long dated futures prices we also find empirical evidence for a negative correlation between crude oil futures prices and interest rates that contributes to improving fit to long dated crude oil option prices

taxes and the pricing of stock index futures stock index futures prices are generally below the level predicted by simple arbitrage models this paper suggests that the discrepancy between the actual and predicted prices is caused by taxes capital gains and losses are not taxed until they are realized as constantinides demonstrates in a recent paper this gives stockholders a valuable timing option if the stock price drops the investor can pass part of the loss on to the government by selling the stock on the other hand if the stock price rises the investor can postpone the tax by not realizing the gain since this option is not available to stock index futures traders the futures prices will be lower than standard no tax models predict on 24 february 1982 the kansas city board of trade began trading futures contracts on the value line average stock index during the next two months both the chicago mercantile exchange and the new york futures exchange also initiated trading in stock index futures although these contracts are actively traded their prices have puzzled both practitioners and academics the observed

a bivariate probit approach to the determination of employment a study of teen employment differentials in los angeles county following a bivariate probit approach and using the 1990 public use microdata samples pums for los angeles county this study shows that the employment of teenage workers depends on both the worker s participation decision as well as the employer s hiring decision omission of the role of participation decision from the estimation of employment probability yields misleading evidence of hiring discrimination against blacks this evidence however disappears when the participation and hiring equations are estimated jointly in a bivariate framework the study finds no evidence of discrimination against females and latinos in addition the study shows that family household and neighbourhood characteristics play significant roles in the determination of teen employment

random matching under dichotomous preferences we consider bilateral matching problems where each person views those on the other side of the market as either acceptable or unacceptable an acceptable mate is preferred to remaining single and the latter to an unacceptable mate all acceptable mates are welfare wise identical using randomization many efficient and fair matching methods define strategyproof revelation mechanisms randomly selecting a priority ordering of the participants is a simple example equalizing as much as possible the probability of getting an acceptable mate across all participants stands out for its normative and incentives properties the profile of probabilities is lorenz dominant and the revelation mechanism is group strategyproof for each side of the market our results apply to the random assignment problem as well

migration selectivity and the effects of public programs abstract a model of the spatial distribution of mobile heterogeneous agents is formulated to assess how a price change or program subsidy that is location specific affects the composition of local residents via selective migration and thus biases evaluations of the effectiveness of the program based on its local consequences longitudinal data from colombia are used to test the implications of migration selectivity the findings confirm the existence of selective migration suggesting that local subsidies to human capital attract high income but within income groups low fertility households and those with low human capital endowments these migration patterns are shown to be consistent with the dominance of endowment over tastes heterogeneity in the population under plausible behavioral assumptions

sex differentials in unemployment rates a case for no concern this paper reevaluates the concept of unemployment in the context of differing labor market and nonmarket opportunities for men and women discussing common fallacies in female to male unemployment rate comparisons and their use as an indicator of labor market equality suggestive empirical evidence is presented for an alternative unemployment rate concept for women for interpreting the procyclical variation in female to male unemployment rate differentials and for decomposing unemployment differences into differences in labor market characteristics and in behavioral coefficients for the two sexes the paper concludes that a large part of the observed unemployment rate differential may be attributed to the definition and methodology used in deriving unemployment statistics rather than to discrimination in productive opportunities

the relation between forward prices and futures prices abstract this paper consolidates the results of some recent work on the relation between forward prices and futures prices it develops a number of propositions characterizing the two prices these propositions contain several testable implications about the difference between forward and futures prices many of the propositions show that equilibrium forward and futures prices are equal to the values of particular assets even though they are not in themselves asset prices the paper then illustrates these results in the context of two valuation models and discusses the effects of taxes and other institutional factors

unemployment insurance meets the classical labor supply model abstract through making average income dependent on the breakdown of non employment into frequency and duration the classical labor supply model with unemployment insurance has important implications for labor force participation the duration of employment and unemployment and modes of worker behavior that are by and large consistent with empirical knowledge

the adjustment of the real interest rate to inflation this paper reports tests of carmichael and stebbing s 1983 inverted fisher hypothesis that it is the real rather than the nominal interest rate which adjusts to changes in the expected inflation rate unlike the earlier analysis the results presented here are based on a properly specified estimating equation derived from a short run open economy macro model the results support the inverted fisher hypothesis in the short run but indicate that there is some overshooting of the real interest rate so that after four quarters about 75 of the effect of an expected inflation change is reflected in real rates while the remainder leads to an increase in the nominal rate

a tractable model of indirect asset liquidity abstract assets have indirect liquidity if they cannot be used as media of exchange but can be traded to obtain a medium of exchange money and thereby inherit monetary properties this essay describes a simple dynamic model of indirect asset liquidity provides closed form solutions for real and nominal assets and discusses properties of the solutions some of these are standard assets and money are imperfect substitutes asset demand curves slope down and money is not always neutral other properties are more surprising prices are flexible but appear sticky and an increase in the supply of indirectly liquid assets can decrease welfare because of its simplicity the model can be useful as a building block inside a larger model and for teaching concepts from monetary theory

intertemporal commodity futures hedging and the production decision this paper deals with the producer s optimal use of commodity futures in hedging the framework for analysis is an intertemporal consumption and investment model the producer makes his production decisions at the beginning of the period and realizes his return at the end of the time interval during the period he faces both price and output uncertainties in applying stochastic dynamic programming methods this paper shows the effect of these risks on his consumption behavior further the paper investigates his optimal hedging positions in the futures market over time and his optimal production decisions finally implications of these results on the futures markets are discussed this paper studies a normative model of the farmer s optimal hedging strategy and consumption behavior in a continuous time framework recent papers for example berck 3 rolfo 18 stoll 21 have analyzed the farmer s hedging strategies in a one period context these papers have provided interesting insights into the farmer s production decisions and the optimal design of futures contracts and markets however in a one period model some rather restrictive conditions are imposed on the individual s behavior for example in these models an individual is assumed to ignore any information arrival process as a result the individual is assumed to adjust neither consumption behavior nor hedging positions to the changing state of the world during the production period these conditions can be relaxed in a continuous time framework in an intertemporal context the farmer s hedging problem may be viewed as follows since the farm income at harvest depends on both the spot price and the output in bushels the farmer is subject to both price and output uncertainties during the production period 1 when the farmer can hedge only in the commodity futures market he cannot eliminate both the price and output uncertainties by any hedging strategy 2 as the farm income represents a significant portion of his wealth he must necessarily hold an undiversified portfolio during the production period therefore in essence the farmer must solve for his investment consumption behavior and his hedging strategy facing the nonmarketable asset problem mayers 14 in a multiperiod framework in this context one can see intuitively the major difference between a one

taxes and the futures forward price difference in the 91 day t bill market this paper investigates a tax based explanation for the futures forward price divergence in the ninety one day t bill the explanation is firstly in terms of the distinction between capital gains and losses and ordinary gains and losses and secondly in terms of investors to whom the above distinction applies and investors such as broker dealers to whom it does not the empirical results are encouraging though more ambiguous in the post 1981 period overall it would seem that other factors in addition to taxes are also at work copyright 1989 by ohio state university press

sterilization of short term capital inflows through lower interest rates reductions in international interest rates are a major cause of capital flows to emerging economies increases in domestic interest rates are a frequent policy response to the resulting price increases this is often unsuccessful the paper suggests a theoretical explanation based on distinctive features of emerging financial markets including imperfect asset substitutability and imperfect capital mobility for some sectors of the economy it concludes that the appropriate policy response to capital inflows may be lower interest rates

the non neutrality of inflation for international capital movements this paper studies the question of how unilateral changes in the rate of inflation affect the international allocation of capital presenting a model that incorporates a transaction motive for money holding and capital income taxation with historical cost accounting it counters the view that inflation will be neutral in a world of perfect foresight and costless arbitrage under mild conditions domestic inflation will unambiguously induce a capital export the paper includes a discussion of the fisher effect the empirical observation of a less than one to one translation of inflation into nominal interest rates is shown to be compatible with the model and in fact the capital export turns out to be stronger the lower the degree of translation

two illustrations of the quantity theory of money of two central implications of the quantity theory of money that a given change in the rate of change in the quantity of money induces i an equal change in the rate of price inflation and ii an equal change in nominal rates of interest the illustrations were obtained by comparing moving averages of the three variables in question using quarterly u s time series for the period 1953 77 readers may find the results of interest as additional confirmation of the quantity theory as an example of one way in which the quantity theoretic relationships can be uncovered via atheoretical methods from time series which are subject to a variety of other forces or as a measure of the extent to which the inflation and interest rate experience of the postwar period can be understood in terms of purely classical monetary forces the theoretical background of the study is reviewed very briefly as it is familiar material in the next section the data processing methods are described and rationalized in section ii the illustrations

evidence of the fisher effect from u k indexed bonds newly available data from the u k market for indexed securities are used to test the fisher hypothesis for monthly observations of interest rates at 14 maturities the hypothesis that the after tax nominal interest rate is a constant plus anticipated inflation proves to be a reasonable approximation of reality for longer maturities the coefficients on the expected rate of inflation are approximately equal to one the mundell tobin effect is in evidence for shorter maturities the inverted fisher effect is in evidence for shorter maturities the inverted fisher effect is decisively rejected the evidence suggests that past difficulties encountered in trying to prove the fisher effect have been due to the lack of a direct measure of inflation expectations and real interest rates copyright 1992 by mit press

the effect of rent control on the price of rental housing an hedonic approach it is widely believed that rent control leads to a decline in the quality of rental housing this study examines the effect of rent control on the quality of rental housing in new york city quality change is linked to the suppression of rent below

econometric modelling of non ferrous metal prices abstract this article evaluates the significance of the empirical models and the distributional properties of prices in non ferrous metal spots and futures markets published in leading refereed economics and finance journals between 1980 and 2002 the survey focuses on econometric analyses of pricing and return models applied to exchange based spot and futures markets for the main industrially used non ferrous metals namely aluminium copper lead nickel tin and zinc published empirical research is evaluated in the light of the type of contract examined frequency of data used choice of both dependent and explanatory variables use of proxy variables type of model chosen economic hypotheses tested methods of estimation and calculation of ses for inference reported descriptive statistics use of diagnostic tests of auxiliary assumptions use of nested and non nested tests use of information criteria and empirical implications for non ferrous metals