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Argues that the similarities between US treasury securities (treasuries) and FDIC‐insured large retail certificates of deposit (CDs) should make their prices similar in an efficient market. Considers deposit pricing and substitutability between treasuries and CDs, citing previous research; and...
Outlines the Fisher hypothesis, cites previous relevant research and develops mathematical models for long‐run and short‐run Fisher relationships. Applies them to the UK, USA, Canada and Japan, using 1978‐1997 monthly data and Eurocurrency interest rates to explore the relationship between...
Outlines previous research on the impact of US Federal Reserve policies on market interest rates and returns; and the relationship between interest rates and market returns. Investigates these effects over three time periods: Sept 1974‐Oct 1979 (interest rate targeting through the federal funds...
Reviews previous research on the announcement effects of changes in US Federal Reserve policies and presents a study of the impact of federal funds rate and discount rate changes since the current chairman took office (1988) on the treasury bills/bonds and stock markets. Uses event study...
Refers to previous research on the relationship between returns for different asset classes and on cointegration; and applies Johansen’s (1988) methodology to develop a prediction model. Uses 1978‐1995 data on five US asset classes (treasury bills, long‐term bonds, large capitalization common...
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