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Showing 1 to 15 of 15 for “"Expectations Hypothesis"”.
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METHODOLOGICAL ISSUES IN MONETARY ECONOMICS
… research program, as is the rational expectations hypothesis. At the macroeconomic level, there are competing Keynesian and conservative programs. The latter contains monetarism as a constituent set of theories.</p><p>Methodological and policy-related debates reflect competition …
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Preferred Habitat For Liquidity In International Short-term Interest Rates
… but before the calendar year-end. The competing hypothesis, window dressing by financial intermediaries around disclosure dates, requires that the increase in yields be sustained until after the turn of the year. This study is aimed at finding whether the behavior of international money markets …
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On rational expectations and dynamic games
… of uniting dynamic game theory and the rational expectations hypothesis. In doing so we examine the current trend in macroeconomic literature towards the use of dominant player games and offer an alternative game solution that seems more compatible with the rational expectations hypothesis. Our …
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The puzzling behavior of equity returns: The need to move beyond the consumption capital asset pricing model
… their behavior. I first consider the so-called "expectations hypothesis" (EH) and find that it fails empirically even when structural change is incorporated into the analysis. I then examine the consumption Capital Asset Pricing Model (CAPM), which has been the workhorse of financial economics …
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An econometric model of the world shipping markets
… second hand ships as well as in the treatment of expectations. Chapter 3 presents a 'new' theoretical model of the behaviour of shipping markets that attempts to remedy these defects. Novel features of this theory are the assumption of 'rational expectations' in shipping markets as well as the …
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Price formation under uncertainty
… is aimed at better understanding the role of expectations to the price formation process. Since general competitive analysis lacks a coherent explanation of how expectations are formulated it is difficult to promote theories that assume agents have no structural knowledge in favour of theories …
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Speculation, Capital Mobility, Price Flexibility, Forward Market Intervention and Exchange Rate Variability: A Simulation Approach
… in order to investigate whether under rational expectations hypothesis increased speculation, capital mobility, price flexibility and forward market intervention can dampen fluctuations of spot and forward exchange rates against random disturbances originating in the home country and abroad. The …
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Not So Great Expectations: An Analysis of Expectation Determinants and the Predictability of Expectation Errors
… Reserve Bank of New York’s Survey of Consumer Expectations (SCE) to analyze expectations of national inflation, national stock market returns, personal credit access, and personal financial wellbeing to test the rational expectations hypothesis (REH). For each of these variables, I examine the …
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Public News in The Exchange Rate Market
… link between the transformation and the rational expectations hypothesis. Our results challenge a de facto approach by highlighting that the choice of the news transformation has a significant effect on the results. In addition, we propose several methodological improvements to the popular …
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Currency risk and imperfect knowledge: Cointegrated VAR analyses with survey data
… derive from both violations of the rational expectations hypothesis (non white-noise forecast errors) as well as a time-varying risk premium. What this literature has not done however is to determine whether any of the existing models of the risk premium can account for the time-varying risk …
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A study of the fundamentals of actuarial economic models
… Wilkie's (1995b) model, Dyson and Exley's (1995) expectations model, and Smith's (1996) jumpequilibrium model. Wilkie's model was developed primarily from data considerations, whilst the other two models were developed from theoretical considerations. Wilkie's model is shown to be inconsistent …
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Differential impact of monetary policy: a sectoral approach
… tests are undertaken. First, I test the rational expectations hypothesis that only unexpected monetary changes affect output growth against the Phillips' type stabilization hypothesis that both expected and unexpected monetary growth affect output growth. Further, I examine the arguments that …
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Asset valuation in dry bulk shipping
… returns variation and almost none to varying expectations about the terminal earnings yield. According to our results, earnings yields are negatively and significantly related to future net earnings growth. Furthermore, we find no consistent, strong statistical evidence supporting the …
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An Econometric Analysis of the Dry Bulk Shipping Industry; Seasonality, Market Efficiency and Risk Premia
… in freight markets, the efficient market hypothesis and the existence of time-varying risk premia in freight rate and ship price formation, the dynamic interrelationships between freight rate levels and spillover effects in freight rate volatilities, between sub-markets of the dry bulk …
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Essays in Financial Economics
… commonly include</p><p>violations of the expectations hypotheses, predictability of excess returns, and the levels and volatilities of nominal bond yields, in addition to well-known equity premium and the risk-free rate puzzles.</p><p>Equally surprising is the recent evidence on large …