evidence of nonlinearity in daily stock returns this article applies a newly developed statistical technique to time series of daily rates of return of 15 common stocks the technique involves estimating the bispectrum of the observed time series the bispectrum is defined as the double fourier transform of the third order cumulant function if the process generating rates of return is linear with independent innovations then the skewness of the bispectrum will be constant the article describes a test that can detect nonconstant skewness in the bispectrum hence if the test rejects constant skewness a nonlinear process is implied as a consequence the test can distinguish between white noise and purely random noise the results suggest that daily stock returns are generated by a nonlinear process

monetary policy regime changes and the risk premium in the foreign exchange markets abstract this paper reports an empirical relationship between conduct of monetary policy and the foreign exchange risk premium using garch 1 1 the time variation of the risk premium is shown to depend significantly on the changes in the monetary policy regime

can education subsidy reverse falling fertility the case of taiwan abstract the education subsidy in taiwan is available for government employees only in 1996 the government ceased to index the education subsidy for inflation which created a natural experiment ideal for studying the effect of the education subsidy on fertility using the difference in differences approach we find that the reform reduced the fertility probability for public sector households by 17 per cent and this negative response appears to be permanent the estimated probability elasticity of fertility is 0 05 which is smaller than that of personal tax exemption 0 8 the results also suggest that the education subsidy has a heterogeneous effect on fertility across income groups

measuring noise in exchange rate models abstract this paper conducts a race between models in terms of their ability to explain observed violations of uncovered interest parity this is done by comparing the empirical performance of the simple efficiency hypothesis and the models which assume the existence of risk premiums my analysis uses noise ratios which complement specification tests by showing the relative degree to which each model reconciles with the data the empirical results imply that the risk premiums introduced by the latent variable model could significantly explain the deviation of forward exhange rates from the expected future spot rates

an equilibrium model of asset trading with sequential information arrival in an effort to better understand the dynamic market price adjustment process this paper develops a model which describes the impact of new information on a financial market the primary emphasis is on the price change volume relationship in the presence of a margin requirement we find that the margin requirement significantly affects the relation of price change to volume furthermore this relationship is shown to be affected by the number of investors in the market the degree of information dissemination differences in interpretation of information and the implicit cost of the margin requirement

how does parental leave affect fertility and return to work evidence from two natural experiments this paper analyzes the effects of changes in the duration of paid job protected parental leave on mothers higher order fertility and postbirth labor market careers identification is based on a major austrian reform increasing the duration of parental leave from one year to two years for any child born on or after july 1 1990 we find that mothers who give birth to their first child immediately after the reform have more second children than prereform mothers and that extended parental leave significantly reduces return to work employment and earnings also decrease in the short run but not in the long run fertility and work responses vary across the population in ways suggesting that both cash transfers and job protection are relevant increasing parental leave for a future child increases fertility strongly but leaves short run postbirth careers relatively unaffected partially reversing the 1990 extension a second 1996 reform improves employment and earnings while compressing the time between births

an exploration of the forward premium puzzle in currency markets a standard empirical finding is that expected changes in exchange rates and interest rate differentials across countries are negatively related implying that uncovered interest rate parity is violated in the data this article provides new empirical evidence that suggests that violations of uncovered interest rate parity and its economic implications depend on the sign of the interest rate differentially a framework related to term structure models is developed to account for the puzzling relationship between expected changes in exchange rates and interest rate differentials estimation results suggest that a particular term structure model can account for the puzzling empirical evidence article published by oxford university press on behalf of the society for financial studies in its journal the review of financial studies

theoretical relations between risk premiums and conditional variances many statistical models of time varying risk premiums including the autoregressive conditional heteroscedasticity arch in mean attempt to exploit a relation between risk premiums and conditional variances or covariances of asset returns we examine this relation in numerical versions of a dynamic asset pricing theory and show that it can be increasing decreasing flat or nonmonotonic its shape depends on both the preferences of the representative agent and the stochastic structure of the economy without additional structure the theory does not provide either a general foundation for arch in mean specifications or a simple interpretation of their parameters

lag length selection and tests of granger causality between money and income one of the most widely accepred relationships in macroeconomics is the positive relationship between the rate of growth of the money supply and the rate of growth of income a diversity of opinion arises however with the attempt to identify a causal relationship between these variables while friedman and schwartz 1963 initiated the empirical investigation of money income causality sims 1972 made the most significant contribution to this literature with a practical application of the criterion developed by granger 1969 for identifying a causal relationship since the appearance of sims s approach and an alternative one advanced by sargent 1976 many researchers have applied these techniques to the investigation of the causal relationship between money and income l with two exceptions hsiao 1981 and mcmillin and fackler 1984 these researchers have arbitrarily chosen the lengths of their distributed lags the purpose of this paper is to test for granger causality between money and income this paper differs from previous work in that considerably more attention is focused on the effect of the lag specification on the test results in particular we investigate the extent to which rules of thumb arbitrary lag specifications and

modelling risk premia in international asset markets abstract the intertemporal capital asset pricing model icapm has been widely used as a vehicle to explain the predictability of excess returns in forward foreign exchange markets this approach ignores the heterogeneity in the assets actually traded in international asset markets in this paper it is shown that the latent variable risk premium model is not rejected by the data when tested on a portfolio including equity and bonds in four currencies however application of a more general test rejects parameter stability suggesting that the latent variable model is not as successful as the previous tests would imply

fertility and the personal exemption implicit pronatalist policy in the united states the personal exemption in the us provides households with an income tax subsidy for each child this paper uses aggregate time series data for the us from 1913 to 1984 to estimate the impact of the tax value of the personal exemption on the aggregate birth rate the empirical results indicate that the personal exemption has a positive and significant impact on fertility and this result is robust to a variety of specifications the us therefore pursues an implicit pronatalist policy through the income tax and the empirical results indicate that the recent tax reform act of 1986 will on average increase this subsidy for fertility authors

a comparison of lag length selection techniques in tests of granger causality between money growth and inflation evidence for the us 1959 86 this paper employs the granger test to examine the causal relationship between growth in the money supply and inflation for the us over the period 1959 to 1986 alternative procedures including bo

time varying risk premia volatility and technical trading rule profits evidence from foreign currency futures markets abstract this paper re examines the efficiency of foreign currency futures markets by evaluating the role of time varying risk premia and volatility in explaining technical trading rule profits the results show that large parts of the technical rule profits can be explained by the time varying risk premia estimated from a general model for the conditional capm the bootstrap distributions for the profits under the null model average one third to one half of the actual profits and enclose the actual profits well within the 90 confidence intervals time varying conditional volatility explains an additional 10 of the profits

will the stork return to europe and japan understanding fertility within developed nations we seek to explain the differences in fertility rates across high income countries by focusing on the interaction between the increasing status of women in the workforce and their status in the household particularly with regards to child care and home production we observe three distinct phases in women s status generated by the gradual increase in women s workforce opportunities in the earliest phase characteristic of the 1950s and 1960s in the united states women earn low wages relative to men and are expected to shoulder all of the child care at home as a result most women specialize in home production and raising children in an intermediate stage women have improved but not equal labor market opportunities but their household status lags women in this stage are still expected to do the majority of child care and household production increasing access to market work increases the opportunity cost of having children and fertility falls female labor force participation increases working women in this phase of development have the strongest disincentives to having additional children since the entire burden of child care falls on them in the final phase of development women s labor market opportunities begin to equal those of men in addition the increased household bargaining power that comes from more equal wages results in much higher if not gender equal male participation in household production female labor force participation is higher than in the intermediate phase the increased participation of men in the household also reduces the disincentives for women to have additional children and fertility rates rise compared to the intermediate phase the intermediate low fertility phase might describe japan italy and spain in the present day while the scandinavian countries the netherlands and the modern day united states may be entering the final phase after presenting the empirical evidence we predict that high income countries with the lowest fertility rates are likely to see an increase in fertility in the coming decades

a direct test of the mixture of distributions hypothesis measuring the daily flow of information this paper proposes and conducts direct tests of the mixture of distributions model for stock prices by exploiting the model s bivariate conditional normality of price changes and trading volume these restrictions can be tested under very weak assumptions regarding the daily flow of information to the market as a technical by product important parameters governing the distribution of this unobservable information flow are estimated

the effects of social security on population and output growth in this paper we have considered two unfunded social security programs under the conventional system benefits are related to aggregate fertility under the hypothetical fertility related system benefits are directly linked to individual fertility the effects on fertility and per capita growth rates of the two social security systems are examined in the context of endogenous growth the relative merits of the two systems for developing and developed countries are considered the authors conclude that the conventional social security system existing in many developed nations may be desirable to developing countries in reducing population and promoting economic growth on the other hand the hypothetical fertility related system may be useful to developed countries as far as increasing fertility is concerned

fertility and the size of the u s labor force this paper reviews and interprets from an economic perspective the demographic trends in the u s since the turn of the century the primary focus will be upon the interplay between the fertility and labor force participation of women and how they may be interpreted within simple economic models we will begin by stating what economic demography is and why careful analytic methods are needed section ii provides a brief demographic history of the u s section iii describes the major economic theories of fertility and section iv discusses the empirical performance of these theories section v discusses the linkages between fertility and the size of the labor force and section vi concludes excerpt

nonlinear dynamics and stock returns simple deterministic systems are capable of generating chaotic output that mimics the output of stochastic systems for this reason algorithms have been developed to distinguish between these two alternatives these algorithms and related statistical tests are also useful in detecting the presence of nonlinear dependence in time series in this article the authors apply these procedures to stock returns and find evidence that indicates the presence of nonlinear dependence on weekly returns from the center for research in security prices value weighted index copyright 1989 by the university of chicago

time varying betas and risk premia in the pricing of forward foreign exchange contracts abstract this paper specifies the single beta capital asset pricing model for the pricing of forward foreign exchange contracts from the point of view of a u s investor parametric specification of the betas as arch like processes explicitly allows for time variation as well as sign variation of the risk premium in the forward foreign exchange market i estimate the model jointly for four currencies using a generalized method of moments procedure the results show significant time variation for the betas and tests of the overidentifying restrictions are generally favorable to the model

the effect of tax transfer policies on fertility in canada 1921 88 this paper estimates the effect on fertility of the personal tax exemption for children child tax credit family allowances and maternity leave benefits in canada using time series data from 1921 to 1988 it is found that the exemption child tax credit and family allowances all have significant and positive effects on fertility the results are robust to a variety of specifications including first differencing while the three tax transfer programs seem to be very distinct the null hypothesis that they have no differential effects on fertility can hardly be rejected all the results also hold for the cumulative effect of the three tax transfer programs the estimates predict that a large increase in the value of the tax transfer programs would be needed to increase fertility to the replacement level

the time variation of risk and return in the foreign exchange and stock markets this paper attempts to determine whether the fluctuations of conditional first and second moments which are observed for many assets are consistent with the sharpelintner mossin capital asset pricing model we test the mean variance model under several different assumptions about the time variation of conditional second moments of returns using weekly data from july 1974 to december 1986 that include returns on a portfolio composed of dollar deutsche mark sterling and swiss franc assets together with the u s stock market the results indicate that estimated conditional variances cannot explain the observed time variation of risk premia rates of return on international financial assets are characterized by statistical properties that are quite common to all financial markets they are highly volatile and largely unpredictable these properties make it very difficult to extract statistically reliable estimates of systematic exchange rate and assetprice movements and are at the root of the generally poor empirical performance of international asset pricing models nevertheless two important results have been uncovered by empirical researchers and can be considered a fair characterization of the data a expected returns on foreign assets vary over time cumby and obstfeld 1981 and the numerous articles that followed recently surveyed by frankel and meese 1987 b the volatility of returns of foreign assets also changes over time cumby and obstfeld 1984 hodrick and srivastava 1984 and hsieh 1988 among others as giovannini and jorion 1987 suggest the

financial incentives and fertility using panel data on over 300 000 israeli women from 1999 to 2005 we exploit variation in israel s child subsidy to identify the impact of changes in the price of a marginal child on fertility we find a positive statistically significant and economically meaningful price effect on overall fertility and consistent with becker 1960 and becker and tomes 1976 a small effect of income on fertility which is negative at low and positive at high income levels we also find a price effect on fertility among older women suggesting that part of the overall effect is due to a reduction in total fertility

tests of international capm with time varying covariances we perform maximum likelihood estimation of a model of international asset pricing based on capm we test the restrictions imposed by capm against a more general asset pricing model the betas in our capm vary over time as the supplies of assets change and as the conditional covariances or returns on those assets change we let the covariances change over time as a function of macroeconomic data and an alternative model allows the covariances to follow a multivariate arch process we also can identify a modified capm model with measurement error we find that the estimated capm performs much better when variances are not constant over time nonetheless capm is rejected in favour of the lessrestricted model of asset pricing

the fertility effect of dependent tax exemptions estimates for the united states the effect of the dependent tax exemption on the fertility rate in the united states is estimated the estimation is an improvement on previous work in that a non linear specification is used to better capture the shape of the demand for children it is found that the marginal effect of the dependent exemption decreases with the level of the exemption this suggests that although subsidies for childbearing will increase fertility it becomes increasingly difficult for countries to increase fertility through this type of scheme

evidence of risk premiums in foreign currency futures markets benchmark portfolios for con sumption and wealth when the parameters rep resenting the prices of the covariance risks areheld constant no risk premiums are detected however when these prices are allowed to varywith the conditional expected returns and vari ances of the benchmark portfolios possibly reflect ing changing investment opportunities strong evi dence of risk premiums is obtained recent examinations of foreign currency futures datahave tested the hypothesis that today s futures priceis an unbiased predictor of tomorrow s price againstan unspecified alternative hypothesis the accumu lated evidence against the unbiasedness hypothesishas not been accompanied by evidence consistentwith a particular equilibrium risk premium model

macroeconomic sources of foreign exchange risk in new eu members abstract we address the issue of foreign exchange risk and its macroeconomic determinants in several new eu members we derive the observable macroeconomic factors consumption and inflation using the stochastic discount factor sdf approach the joint distribution of excess returns in the foreign exchange market and the factors are modeled using a multivariate garch in mean specification our findings show that both real and nominal factors play important roles in explaining the variability of the foreign exchange risk premium both types of factors should be included in monetary general equilibrium models employed to study excess returns to contribute to the further stability of domestic currencies the new eu members should strive to implement stabilization policies aimed at achieving nominal as well as real convergence with the core eu members

fertility and the personal exemption comment one of the most commonly cited studies on the effect of child subsidies on fertility whittington alm and peters 1990 claimed a large positive effect of child tax benefits on fertility using time series methods we revisit this question in light of recent increases in child tax benefits by replicating this earlier study and extending the analysis we do not find strong evidence to justify the model specification from the original paper moreover even if the original specification is appropriate we show that the results are not robust to more general measures of child tax benefits jel h24 j13

population aging class context and age inequality in public spending although recent experiences in the united states suggest that population aging for both demographic and political reasons favors public spending for the elderly relative to children many european nations with different political environments show no shuch pattern this paper investigates age inequality or bias in public spending for these two age based dependent groups using annual time series data for 18 advanced industrial democracies the results show that a large aged population reduces age inequality in favor of the eldearly in the presence of 1 class based corporatism and 2 strong leftist parties whereas a large aged population increases age inequality in the absence of these two factors

testing for linear and nonlinear granger causality in the stock price volume relation linear and nonlinear granger causality tests are used to examine the dynamic relation between daily dow jones stock returns and percentage changes in new york stock exchange trading volume we find evidence of significant bidirectional nonlinear causality between returns and volume we also examine whether the nonlinear causality from volume to returns can be explained by volume serving as a proxy for information flow in the stochastic process generating stock return variance as suggested by clark s 1973 latent common factor model after controlling for volatility persistence in returns we continue to find evidence of nonlinear causality from volume to returns

the dependence between hourly prices and trading volume this study provides evidence on joint characteristics of hourly common stock trading vol ume and returns on the new york stock exchange average volume traded shows signifi cant differences across trading hours of the day and across days of the week average returns differ across hours ofthe day and to some extent across days ofthe week there is a strong contemporaneous relation between trading volume and returns and also a rela tion between trading volume and returns lagged up to four hours furthermore the trading volume returns relation is steeper for positive returns than for nonpositive returns

marital status and fertility in the united states welfare and labor market effects the incidence of marriage and the proportion of childbearing that occurs within marriage have decreased sharply in the united states in the last several decades this paper examines whether the probability that a woman is currently married and the number of children she has borne as reported in the 1980 u s census are related to two identifiable factors the variation in welfare programs across states specifically afdc and medicaid benefits and afdc up expenditures or the variation in the market wage opportunities available to women and to their potential husbands afdc and medicaid benefit levels are associated with fewer women being currently married medicaid benefits are related to lower fertility levels for both black and white women whereas afdc benefits in cash and food are associated with lower fertility among white women ages 15 24 those states that extend afdc benefits to families with unemployed parents in other words fathers in intact poor families do not have significantly more women married or higher fertility rates contrary to what might be expected from economic incentives men s market wages are associated with more frequent marriage and higher fertility whereas higher market wage opportunities for women have substantial effects in the opposite direction all of which are consistent with standard models of gender specialization and the demand for marriage and fertility

interest rate risk and the forward premium anomaly in foreign exchange markets this paper shows that even adjusted for the time varying risk premiums implied by the yield curves across countries uncovered interest parity is still strongly rejected by the data moreover factors that predict the excess bond returns are found not significant at all in predicting the foreign exchange returns these results reject the joint restrictions on the exchange rate and interest rates imposed by dynamic term structure models suggesting that foreign exchange markets and bond markets may not be fully integrated and we have to look beyond interest rate risk in order to understand the exchange rate anomaly

are children really inferior goods evidence from displacement driven income shocks abstract this paper explores the causal link between income and fertility by analyzing women s fertility response to the large and permanent income shock generated by a husband s job displacement i find that the shock reduces total fertility suggesting that the causal effect of income on fertility is positive a model that incorporates the time cost of children and assortative matching of spouses can simultaneously explain this result and the negative cross sectional relationship i also find that a husband s displacement accelerates childbearing which is consistent with lifecycle models of fertility in which the incentive to delay is driven by expected earnings growth

an empirical analysis of the stock price volume relationship abstract this paper investigates the empirical relationship between absolute stock price changes and trading volume in the stock market using granger causality tests we find that there is a significant causal relationship between absolute price changes and volume at the firm level and that this relationship is stronger in periods surrounding earnings announcements we view this as suggesting that information arrival follows a sequential rather than a simultaneous process although the results do not support an extreme version of either information arrival model

redistribution fertility and growth the effect of the opportunities abroad abstract this article analyzes the effect of the opportunities abroad on the growth path that a small open economy in which redistribution policy in favor of less prosperous segments takes place is expected to follow the model shows that redistribution policy raises fertility among the unskilled recipients lowers fertility among the contributing skilled slows human capital accumulation and reduces per capita output growth the paper demonstrates that the opportunities abroad determine the share of income redistributed and ultimately induce the offspring of the unskilled to invest in human capital and decrease their family size

did expanding the eitc promote motherhood during the 1990 s the earned income tax credit eitc emerged as a primary means of providing income support for low income families in the united states in an effort to keep the program well targeted the credit largely restricts eligibility to tax filers with children one potentially unintended consequence of this design is that it might encourage childbearing we raise the question of whether the eitc through its generous benefits to families with children actually increases fertility we approach this topic for three reasons the first is to expand upon an existing literature of economic incentives and fertility using the eitc expansion as a large exogenous variation in the price of childbearing findings in the welfare literature are inconclusive robert a moffitt 1998 and the income tax literature typically finds small but statistically significant effects of the income tax system on fertility behavior e g leslie a whittington et al 1990 second declining fertility rates in many western counties raise the general issue of whether the tax system can be used as a tool for encouraging fertility finally by considering the link between the eitc and fertility we question a common yet untested assumption in the literature on the eitc and the labor supply of single parents that the presence of a child is exogenous to the value of the eitc

what explains the risk premium in foreign exchange returns abstract we decompose excess returns to holding foreign exchange into components associated with deviations from real interest rate parity and purchasing power parity respectively we find that deviations from purchasing power parity account for over 80 percent of the predictable variation in excess returns to holding foreign exchange in the period 1974 1989 and that deviations from real interest rate parity play a relatively minor role jel f31 g12 g15

recent estimates of time variation in the conditional variance and in the exchange risk premium abstract the optimal diversification model of investors portfolio behavior can give a linear relationship between the exchange risk premium and the conditional exchange rate variance this note surveys recent empirical work that allows the conditional variance itself and therefore the risk premium to vary over time in particular it examines the implications of recent empirical estimates for earlier arguments based on the assumption that the conditional variance was constant over time that the exchange risk premium had to be small in magnitude and variability

subsidizing the stork new evidence on tax incentives and fertility this paper exploits the introduction of a pronatalist transfer policy in the canadian province of quebec that paid up to c 8 000 to families having a child i implement a quasi experimental strategy by forming treatment and control groups defined by time jurisdiction and family type the incentive was available broadly rather than to a narrow population as studied in previous work providing an exceptional opportunity to investigate heterogeneous responses i find a strong effect of the policy on fertility and some evidence of a heterogeneous response that may help reconcile these results with previous estimates

income risk the tax benefit system and the demand for children because children represent an irreversible commitment parents might hedge against higher income risk by having fewer children we show that under plausible assumptions recent increases in income risk might have reduced prudent parents desired fertility responses to this via the tax benefit system are considered introducing an expected revenue neutral transfer cum child benefit system under proportional taxation which lets the government share the household s income risk increases desired fertility for parents who would choose to have small families in this system s absence pound for pound the targeted child benefit enhances fertility more than the lump sum transfer

risk premia carry trade dynamics and economic value of currency speculation in this paper we derive the dynamics and assess the economic value of currency speculation by formalizing the concept of a trader inaction range we show that exchange rate returns comprise a time varying risk premium and that uncovered interest parity uip holds in a speculative sense the often cited forward bias puzzle originates from the omission of the risk premium in standard uip tests consistent with its popularity among market professionals the carry trade strategy can be rationalized as it systematically collects risk premia and generates economic value when applied in multi currency portfolios

income taxes and the marriage decision economic incentives have been found to play an important role in the marriage decision in developed and developing countries however the way in which the income tax treatment of the family affects these incentives has been routinely ignored this paper uses time series data for the united states from 1947 to 1988 to estimate the impact of economic factors including for the first time the tax consequences of marriage on the aggregate marriage rate the estimation results indicate that economic factors like income female wages and education play an important and statistically significant role in the marriage decision in particular the tax consequences of marriage clearly affect the marriage decision when income taxes increase with marriage the aggregate marriage rate declines however the magnitude of this impact is quite small this result suggests that some individuals respond to tax incentives in their marriage choices but that for many individuals taxes do not affect these decisions

paternity deferments and the timing of births u s natality during the vietnam war i background during the conflict in vietnam men between 18 5 and 25 yr of age were subject to the draft several exemptions to this rule existed for example students were exempt importantly for the purposes of this study married men with dependents could also obtain a deferment from the draft and the particulars of this policy underwent substantial changes in the 1960s in august 1965 president johnson issued executive order 11241 which formally eliminated deferments for childless men who got married after august 26 1965 and in october 1965 the selective service declared that childless married men irrespective of the date of marriage were to be called up both announcements came as a surprise new york times 1965a since married men with children remained exempt the declarations provided a strong incentive for young couples to conceive a first born child before august 1965 marriage had been a sufficient condition for a deferment even just a few hours before the august 26 midnight deadline desperate couples tried to make use of this provision by quickly scheduling their wedding between august and october couples who had missed the deadline had to satisfy an additional condition conceiving a child childless men who got married in this period were still subject to the draft and so had an incentive to conceive a child in october 1965 the risk of induction was further extended to all couples who had remained childless finally in april 1970 the family deferments were entirely eliminated by executive order 11527 the selective service system office of public and intergovernmental affairs 2004 past research has demonstrated that taxes and expenditure programs can affect fertility e g whittington alm and peters 1990 see also milligan 2005 for an excellent review as well as the timing of delivery dickert conlin and chandra 1999 the goal of this article was to provide additional evidence on the responsiveness of childbearing to incentives embedded in public policy by studying a dramatic yet unexamined government intervention the effects of the vietnam war paternity deferments on the decision to conceive a first born child as discussed in the popular press vice president dick cheney s first daughter elizabeth was born 9 mo 2 d after the selective service system announced that childless married men were to be drafted boston globe 2000 slate chatterbox 2004 did draft eligible men strategically react to the announcement and if so how widespread and fast was the response to my knowledge no one has investigated the impacts of the vietnam draft on natality using the vietnam draft rules to identify a causal effect however i build on several prior studies angrist for example uses the exogeneity of the vietnam draft rules to identify the effects of military service on lifetime earnings angrist 1990 angrist and chen 2007 and to measure the racial differences in the value of military service angrist 1991 gullason 1989 and card and lemieux 2001 2002 estimate the effects of the vietnam draft on schooling explicitly recognizing that college attendance often served as a vehicle to avoid the draft both studies find a significant effect of the probability of being drafted on school enrollment the fact that the changes in the selective service rules were both unexpected and widely publicized makes this an ideal example to study the effects of policy on fertility decisions milligan 2005 argues that the assumptions made about the timing of the response to policy are arbitrary since a reaction will be delayed not only by a 9 mo gestational lag but also by the time necessary for the diffusion of information about the change in policy in the case examined here however the criticism seems less relevant newspaper clippings from august 27 1965 suggest that the issuance of the executive order 11241 did receive broad attention for example the story was listed on the front pages of new york times 1965c and washington post 1965b

heteroskedasticity in stock return data volume versus garch effects this paper provides empirical support for the notion that autoregressive conditional heterqskedasticity arch in daily stock return data reflects time dependence in the process generating information flow to the market daily trading volume used as a proxy for information arrival time is shown to have significant explanatory power regarding the variance of daily returns which is an implication of the assumption that daily returns are subordinated to intraday equilibrium returns furthermore arch effects tend to disappear when volume is included in the variance equation the autoregressive conditiqnal heteroskedasticity arch process of engle 1982 has been shown to provide a good fit for many financial return time series 1 arch imposes an autoregressive structure on conditional variance allqwing volatility shocks to persist over time this persistence captures the propensity of returns of like magnitude to clu ter in time and can explain the well documented nonnormality and nonstability of empirical asset return distributions see especially fama 1965 an appealing explanation for the presence of arch is based upon the hypothesis that daily returns are generated by a maiture of distributions in which the rate of daily information arrival is the stochastic mixing variable as suggested by diebold 1986 gallant hsieh and tauchen 1988 and stock 1987 1988 arch might capture the time series properties e g serial correlation of this mixing variable hqwever this linkage has not been broadly documented with the datia the objective of this study is to examine the validity of this explanation for daily stock returns the empirical strategy exploits the implication of the mixture model that the variance of daily price increments is heteroskedastic specifically positively related to the rate of daily information arrival using daily trading volume as a proxy for the mixing variable we show that for a sample of 20 common stocks arch effects vanish when volume is included as an explanatory variable in the conditional variance equation

the butz ward fertility model in the light of more recent data butz and ward b w in their 1979 article the emergence of countercyclical us fertility postulated a change in the longstanding pattern of procyclical fertility first documented by dorothy thomas in 1927 the paucity of published data on female wages led b w to approximate a time series using a number of disparate sources there has been some criticism of the b w methodology focusing mainly on the problem of autocorrelation in time series analysis and misspecification 15 years after the 1979 article a great deal of both micro and macro data exist which were not available at the time of the original b w research the author tests the robustness of the b w results by first updating them using their original sources then with data drawn from the march current population survey cps the results indicate that there are wide divergences between the original b w estimates of female wages and the cps time series in particular the cps time series shows that much of the dramatic increase in the female hourly wage in the 1960s as estimated by b w appears to have been the result of the proxy they used for average hours worked that proxy was a series of average hours of all workers in the retail trade which trends sharply downward contrary to the actual pattern for married women estimates of the b w model using the new cps series fail to work neither in terms of the signs nor significance of the variables even using the original b w data their model no longer fits in the period after about 1954 their results seem to have been driven by relationships exhibited during 1947 54 almost 10 years before the increases in female labor force participation which began in the 1960s