2,494 research outputs found
v. Phillips (P.C.B)S Wickens (M.R).
No full textOxford, Fhilip Allan 3 Cambridge, Eallinger ; 1978IV.85-8
An international CAPM for bonds and equities
No full textPrevious empirical studies of international CAPM models have not found much supporting evidence. In this paper we suggest reasons why this might have happened and perform new tests using improved models and data.
A range of monthly CAPM models are estimated for 1973-1987 for aggregate equities and bonds in Germany, Japan, the US and UK. The models are an improvement on earlier work in that we integrate equity markets into the analysis instead of focusing exclusively on government bond stocks, and we carefully measure the rates of return for both bonds and equities. In particular, bond returns reflect changes in the price of bonds as well as coupons. Despite this wider portfolio and the introduction of ARCH effects in the conditional covariance matrix of errors, our model still yields unlikely estimates of the coefficient of relative risk aversion and provides very little explanatory power for expected relative rates of return. Correcting the ICAPM for these major deficiencies does not reverse earlier conclusions in the literature. A close examination of the residuals of the estimated equations suggests that GARCH models are not required for our new data set.<br/
Is the gilt-equity yield ratio useful for predicting UK stock returns?
No full textThe ratio of a long government bond yield to the equity market dividend yield, the Gilt-Equity Yield Ratio (GEYR), is commonly used by analysts in the UK as a means of determining the cheapness of equity investment relative to investment in gilts. Analysts use the ratio to predict future movements in equity prices using buy/sell thresholds, implicitly assuming that there is a long-run arbitrage relation between the equity market and the government bond market. A formal econometric analysis confirms that the GEYR is indeed a useful predictor of equity returns in the UK
Esperienza ed evento della verità. Pratica filosofica e astrazione scientifica nel pensiero di A.N. Whitehead
No full textThis article analyzes the relationship between philosophy, experience and event in A.N. Whitehead’s thought. From the critics of the concept of object, the author retraces and describes the peculiar “abstract-concrete dialectic”, at the center of the researches concerning the perceptual experience.
Furthermore, according to Whitehead’s later works, she demonstrates how the philosophical practice is different from all other kinds of science, although it requires science itself because of the co-implication of object and event, abstraction and recognition
Il "Guerrin Meschino" di Gesualdo Bufalino : un'"opra" in versi
No full textGesualdo Bufalino first published Il Guerrin Meschino in 1991 in a non-commercial edition. In 1993, after a deep revision, he re-published his work with publisher Bompiani: the novel has a modified plot, and the author decided to insert three new poems in addition to the opening and closing poems, formerly present in 1991’s edition. This paper, in its entirety supported by handwritten material preserved at Fondazione Gesualdo Bufalino (Comiso), is divided in two parts: the first part illustrates the differences between the first and the second edition, the second part provides a critical edition of the five poems
Measuring Fiscal Sustainability
No full textWe propose an index of the fiscal stance that is convenient for practical use. It is based on a finite time horizon, not on an infinite time horizon like most tests. As it employs VAR analysis it is simple to compute and easily automated. We also show how it is possible to analyse a change of policy within a VAR framework. We use this methodology to examine the effect on fiscal sustainability of a change in policy. We then conduct an empirical examination of the fiscal stances of the US, the UK and Germany over the last 25 or more years, and we carry out a counter-factual analysis of the likely consequences for fiscal sustainability of using a Taylor rule to set monetary policy over this period. Among our findings are that the recent fiscal stances of all three countries are not sustainable, and that using a Taylor rule in the past would have improved the fiscal stances of the US and UK, but not that of Germany.Budget deficits; government debt; fiscal sustainability; VAR analysis; economic policy.
A FEW WORDS ABOUT THE TEACHER. IN MEMORY OF THE EXCELLENT TEACHER AND SCIENTIST M.R. SAPIN
No full textM.R. Sapin (1925–2015) was a professor at I.M. Sechenov First Moscow State Medical University, honorary academician of Russian academy of medical sciences (1988), and an outstanding representative of the Moscow anatomical school of the middle of XX – early XXI century. From the very beginning of his medical training, Mikhail Romanovich got interested in anatomy, especially in angiology and lymphology, and later concentrated on its studying. The author of more than 30 text books and guidelines for schools, universities, and colleges, Mikhail Romanovich was the doctoral and thesis advisor of 51 Ph.D. and approximately 70 MD dissertations. M.R. Sapin made a significant contribution to the development of anatomical education providing the departments with a various range of dry and wet specimens. His stunning and effective work as a tutor was highly appreciated by his students and colleagues, Russian and foreign anatomists. M.R. Sapin was the leader of the Laboratory of Functional Anatomy since 1972, president of the International Association of Morphologists (1992–2006), chairman of the expert commission of Higher Attestation Commission (1959–1994), etc. A man of a great willpower, M.R. Sapin faced a lot of obstacles in his life and research work but overcame that all successfully. The article presents the most important facts of anatomist’s career and lifetime.</jats:p
The Mexican intertemporal budget constraint: Persistent signals of an eventual collapse
No full textThis paper examines the sustainability of the Mexican current account deficit prior to the December 1994 crisis. It tests whether or not the Mexican economy was satisfying its intertemporal budget constraint, and finds that signals of possible trouble without a change in policies were present long before the crisis. The tests used are based on the Wickens-Uctum criterion for the sustainability of current account deficits, extended to include the case of possible interventions.intertemporal budget constraint, current account, sustainability of current account deficit, Mexico
Measuring the Fiscal Stance
No full textIn this paper we propose an index of the fiscal stance suitable for practical use in short-term policy making. The index is based on a comparison of a target level of the debt-GDP ratio for a given finite horizon with a forecast of the debt-GDP ratio based on a VAR formed from the government budget constraint. This approach to measuring the fiscal stance is different from the literature on fiscal sustainability. We emphasise the importance of having a forward-looking measure of the fiscal stance for the immediate future rather than a test for fiscal sustainability that is backward-looking, or based just on past behaviour which may not be closely related to the current fiscal position. We use our methodology to construct a time series of the indices of the fiscal stances of the US, the UK and Germany over the last 25 or more years. We find that both the US and UK fiscal stances have deteriorated considerably since 2000 and Germany's has been steadily deteriorating since unification in 1989, and worsened again on joining EMU.Budget deficits, government debt, fiscal sustainability, VAR analysis
An Asset Market Integration Test Based on Observable Macroeconomic Stochastic Discount Factors
No full textThere are a number of tests and measures of the degree of integration in the literature. An example is the idea that integrated markets should provide rates of return that are highly correlated with one another and that a measure of correlation provides an appropriate test. This particular idea is clearly false; for substantial periods of time we don't ever see stocks traded on the same market moving together. Specific models of what prices risk in individual markets could provide the basis of a test of integration. However, as has been widely shown, any differences between these pricing models will be subject to arbitrage by informed traders and so cannot form the basis for a test. In this paper we exploit the absence of arbitrage possibilities and the operation of the 'Law of One Price' in stochastic discount factor (SDF) theory to construct a test of integration based on a common approach to pricing assets in all markets, not only for stocks. The SDF approach that we adopt says that one SDF should price all assets as the model is not market or asset-specific.Unlike much of the literature, we adopt a direct parametric approach which takes estimates of an identical SDF from two asset markets and asks whether the price of risk associated with this SDF is the same for the two assets as SDF theory says it should. Another distinctive feature of our approach is that we employ observable macroeconomic factors. This allows us to estimate and compare the estimated risk premia in the markets concerned, with and without the integration restriction being applied. The paper uses this methodology to test market integration between the UK equity and FOREX markets. Our test rejects market integration for the consumption-based capital asset pricing model (CCAPM) and two variable SDF models based on consumption growth and inflation and on output and money growth. As equity and FOREX returns have a similar degree of variability, the finding that the risk premium in the FOREX market is generally much more variable than that in the equity market may contribute to the the test outcome.
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