Exchange rate determination: empirical evidence for the Greek drachma

Article Abstract:

Monthly data on the bilateral exchange rate of the Greek drachma with respect to the US dollar, the deutschemark, the pound sterling, the French franc and the Italian lira are used to study the monetary approach to the exchange rate. The model is validated as a long-term relationship using the Johansen multivariate cointegration technique. However, the Hansen-Johansen testing procedure shows that sample independency of the dimension of the cointegration space, except in the case of the deutschemark, does not exist. However, the hypothesis that the estimated coefficients do not display instabilities in recursive estimations is proven to be valid.

Foreign exchange, Foreign exchange rates, Drachma (Greece)

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Tax rate changes and the long-run equilibrium relationship between taxable and tax-exempt interest rates

Article Abstract:

A study investigated the long-run equilibrium relationship between yields on taxable and tax exempt US securities with comparable maturities and, in particular, developed and tested three hypotheses relating taxable and tax-exempt security yields. The overwhelming majority of the empirical evidence derived is consistent with the Wall Street view of the effect of tax rate changes on respective yields. Tax rate changes appear to influence the behavior of tax-exempt yields, while taxable yields appear to function as the anchor within the system.

Stocks & Other Equity Securities, Research, Influence, Securities, Securities prices, Return on investment, Tax rates, Rate of return, Tax-exempt securities

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The equity premium and the risk-free rate

Article Abstract:

A study was conducted to examine a representative agent model's ability to quantify first and second order moments of the risk free rate and equity return. Standard calibration methodology is applied to set uncertainty conditions for both moments. Results show that the first moment can generate a range of preference parameter measures. However, both moments are not represented by statistical values which can approximate sample measures.

Assets (Accounting), Asset-backed securities, Asset backed securities

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