This article theoretically explores the characteristics underpinning quadratic term structure models (QTSMs), which designate the yield on a bond as a quadratic function of underlying state ...variables. We develop a comprehensive QTSM, which is maximally flexible and thus encompasses the features of several diverse models including the double square-root model of Longstaff (1989), the univariate quadratic model of Beaglehole and Tenney (1992), and the squared-autoregressive-independent-variable nominal term structure (SAINTS) model of Constantinides (1992). We document a complete classification of admissibility and empirical identification for the QTSM, and demonstrate that the QTSM can overcome limitations inherent in affine term structure models (ATSMs). Using the efficient method of moments of Gallant and Tauchen (1996), we test the empirical performance of the model in determining bond prices and compare the performance to the ATSMs. The results of the goodness-of-fit tests suggest that the QTSMs outperform the ATSMs in explaining historical bond price behavior in the United States.
Purpose - In the annals of marketing history and the history of marketing thought, there is a key figure whose influence from the mid-twentieth century through to the present day is worthy of note, ...Dr Ernest Dichter. The purpose of this paper is to place Dichter's writings in appropriate context and posit that arguably more insight into this charismatic figure can be discerned by taking greater account of the Cold War (1946-1991) climate in which he was working and writing.Design methodology approach - This paper is best thought of as an example of biographically inflected research. The paper focuses on the "socially progressive" aspect of his writings in order to display Dichter's support for the American economic system in the Cold War climate of the 1950s, 1960s and 1970s. The author highlights how Dichter came to the attention of the Federal Bureau of Investigation in the mid-1950s. What this paper underscores above and beyond all those that have explored aspects of Dichter's life is that his character was interpreted by respondents to FBI questioning in ways that reflected geopolitical circumstance.Findings - Some of those interviewed by the Bureau praised him highly, whilst others labelled him a Communist, and accused his organisation of employing people with similar leanings. While Dichter may have had some limited associations with socialist doctrines in his early youth, such accusations were misplaced. But, overall, what this paper highlights is a highly malleable practitioner whose practices and writings both contributed to the society in which they were disseminated, but also shifted with the circumstances in which they circulated.Originality value - This paper adds an important dimension to the biography of Ernest Dichter which has not previously been explored.
Recent nonparametric estimation studies pioneered by Aït-Sahalia document that the diffusion of the short rate is similar to the parametric function, 1.5, estimated by Chan et al., whereas the drift ...is substantially nonlinear in the short rate. These empirical properties call into question the efficacy of the existing affine term structure models and beg for alternative models which admit the observed behavior. This article presents such a model. Our model delivers closed-form solutions for bond prices and a concave relationship between the interest rate and the yields. We show that in empirical analyses, our model outperforms the one-factor affine models in both time-series as well as cross-sectional tests.
This paper presents the results of an alternative test of the rational expectations theory of the term structure of interest rates. Other researchers have also examined the validity of the ...expectations hypothesis of term structure. While there is more often rejection of the expectations hypothesis, no other theory (data-consistent with the entire yield curve) provides an empirically adequate explanation of this phenomenon. The study considers postwar US pure discount (zero coupons) bond yields with various maturities, from one month to 60 months. Based on the ex post formation of rational expectations, the expectations error is quantified and the level of truth of the expectations hypothesis tested, that is, the strength of the departure of the yield curve from the expectations theory. The results suggest that a significant amount of information available at no cost to market agents is not incorporated in forming people's expectations.
Using data for the United Kingdom, we show that investors in six different wealth ranges hold mean-variance efficient portfolios of financial assets. This result permits us to estimate coefficients ...of relative risk aversion for investors in each wealth range. We find that these coefficients are much higher than most previous studies have found. This implies that investors (i) are unwilling to hold risky assets unless they are compensated with a sufficiently high risk premium and (ii) are willing to pay for portfolio insurance. The general non-availability of portfolio insurance in the United Kingdom appears to indicate a supply-side rather than a demand-side failure.
Contrary to the predictions of the rational expectations hypothesis of the term structure of interest rates, empirical evidence suggests that the term spread between long and short rates fails to ...forecast future movements of long-term rates although its forecasts of future short-term rates are in the correct direction. In this paper, we show that this puzzling behavior of the term spread alone can be explained by a time-varying term premium that is correlated with the term spread. Once this is accounted for, neither expression of the expectations hypothesis is against the predictions of the theory.
Fernandez explores Montserrat Roig's L'opera quotidiana, Maria Barbal's Carrer Bolivia, and Marie Jaen's La dona discreta to have a better understanding of the causes of immigration, social and ...biological reproduction, and the crisis in the discourses of Catalan identity. She concludes that the novels articulate relevant anxieties about social and cultural reproduction in Catalonia that have not found expression in public discourse and suggest that immigration itself is not dirty little secret of Catalonia, rather, the taboo they have broken is that of showing the existence of incestuous discourses about cultural roots that have prevented the representation of the most important aspect of Catalan culture.
The focus of this investigation is one the asymmetric effects of monetary growth Shocks in the pre-and periods of United States history. The downward Rigidity of nominal wages in the post -war period ...appears to be an important factor in Differentiating the slope of the aggregate supply curve over time. Accordingly, the Response of real output and price to expansionary monetary growth shocks is similar in The pre-and post-war periods. In contrast, the aggregate supply curve is flatter in the Face of negative monetary growth shocks in the post-war period, exacerbating output Contraction and moderating price deflaction. The apparent change in the asymmetric Effects of m onetary growth shocks deflation. The apparent change in the asymmetric States over time. E30,E33,E34,E35
ABSTRACT
The paper constructs a consistent series for UK central government expenditure on industrial subsidies over the post‐war period, valuing incentives in grant equivalent terms from the ...position of a firm undertaking investment appraisal. The analysis includes direct subsidy payments, as well as tax allowances, and provides a disaggregation between those subsidies available on a national, regional and sectoral or firm specific basis. A time‐series analysis of the assembled data shows important differences between these components, with regional assistance performing a long‐run distributive role, while other elements perform a stabilisation function. The short‐run patterns are broadly constant across governments, but the long‐run relationships exhibit structural breaks related to both political and economic events.
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