Interest Rates on Monetary Assets and Commodity Price Index Changes
1972; Wiley; Volume: 27; Issue: 2 Linguagem: Inglês
10.2307/2978473
ISSN1540-6261
Autores Tópico(s)Monetary Policy and Economic Impact
ResumoThe Journal of FinanceVolume 27, Issue 2 p. 251-277 Session Topic: Selected Topics in Monetary Economics INTEREST RATES ON MONETARY ASSETS AND COMMODITY PRICE INDEX CHANGES Richard Roll, Richard Roll Carnegie-Mellon University. The comments and assistance of many colleagues have been more than usually necessary for this paper. I am indebted to Eugene Fama, Martin Geisel, Michael C. Jensen, Allan Meltzer, Norman Miller, Myron Scholes, and James H. Scott, Jr. Kenneth M. Gaver and Shyam Sunder were peerless econometric consultants. The study was financially supported partly by the National Science Foundation and partly by a Ford Foundation Fellowship. However, the conclusions, opinions and other statements are mine alone and are not necessarily those of either Foundation nor of the individuals named above.Search for more papers by this author Richard Roll, Richard Roll Carnegie-Mellon University. The comments and assistance of many colleagues have been more than usually necessary for this paper. I am indebted to Eugene Fama, Martin Geisel, Michael C. Jensen, Allan Meltzer, Norman Miller, Myron Scholes, and James H. Scott, Jr. Kenneth M. Gaver and Shyam Sunder were peerless econometric consultants. The study was financially supported partly by the National Science Foundation and partly by a Ford Foundation Fellowship. However, the conclusions, opinions and other statements are mine alone and are not necessarily those of either Foundation nor of the individuals named above.Search for more papers by this author First published: May 1972 https://doi.org/10.1111/j.1540-6261.1972.tb00958.xCitations: 37 Read the full textAboutPDF ToolsRequest permissionExport citationAdd to favoritesTrack citation ShareShare Give accessShare full text accessShare full-text accessPlease review our Terms and Conditions of Use and check box below to share full-text version of article.I have read and accept the Wiley Online Library Terms and Conditions of UseShareable LinkUse the link below to share a full-text version of this article with your friends and colleagues. Learn more.Copy URL Share a linkShare onEmailFacebookTwitterLinkedInRedditWechat REFERENCES S. Almon. "The Distributed Lag between Capital Appropriations and Expenditures", Econometrica 33 (January, 1965), 178–196. 10.2307/1911894 Web of Science®Google Scholar Leonall C. Anderson and Jerry L. Jordan, "The Monetary Base—Explanation and Analytical Use", Federal Reserve Bank of St. Louis Review 50 (August, 1968), 7–14. Google Scholar Guy Arvidsson. " Should We Have Index Loans?", Ch. 8 in D. C. Hague (ed.), Inflation (New York: St. Martin's Press, Inc., 1962). Google Scholar R. J. Ball. Inflation and the Theory of Money. London: Goerge Allen & Unwin Ltd., 1964. Google Scholar R. J. Ball. "Some Econometric Analysis of the Long-Term Rate of Interest in the United Kingdom, 1921–61", Manchester School of Economics and Social Studies 33 (January, 1965), 45–96. 10.1111/j.1467-9957.1965.tb00048.x Web of Science®Google Scholar Richard A. Brealey. An Introduction to Risk and Return from Common Stock. Cambridge: M.I.T. Press, 1969. Google Scholar Bureau of Labor Statistics, United States Department of Labor, " Seasonal Behavior of Components in the CPI", Monthly Labor Review (May, 1967), 14–20. Google Scholar Bureau of the Census, U.S. Department of Commerce. Historical Statistics of the United States, Colonial Times to 1957. Washington: U.S. Government Printing Office, 1960. Google Scholar Thomas Cooley and Edward C. Prescott. " The Adaptive Regression Model", (unpublished paper, April, 1971). Google Scholar David Durand. Basic Yields of Corporate Bonds, 1960–1942. New York: National Bureau of Economic Research, Technical Paper No. 3, 1942. Google Scholar David Durand and Willis J. Winn. Basic Yields on Bonds, 1926–1947: Their Measurement and Pattern. New York: National Bureau of Economic Research Technical Paper No. 6, 1947. Google Scholar Eugene F. Fama. "Efficient Capital Markets: A Review of Theory and Empirical Work", Journal of Finance 25 (May, 1970), 383–417. 10.2307/2325486 Web of Science®Google Scholar Martin S. Feldstein and Otto Eckstein. "The Fundamental Determinants of the Interest Rate", Review of Economics and Statistics 52 (November, 1970), 363–376. 10.2307/1926313 Web of Science®Google Scholar Irving Fisher. The Theory of Interest. New York: Macmillan, 1930. Google Scholar Milton Friedman and Anna Jacobson Schwartz. A Monetary History of the United States, 1867–1960. New York: National Bureau of Economic Research, 1963. 10.1515/9781400829330 Google Scholar William Gibson. "Price Expectations Effects on Interest Rates", Journal of Finance 25 (March, 1970), 19–34. 10.1111/j.1540-6261.1970.tb00410.x Web of Science®Google Scholar Suraj B. Gupta. "The Portfolio Balance Theory of the Expected Rate of Change of Prices", Review of Economic Studies 37 (April, 1970), 187–203. 10.2307/2296412 Web of Science®Google Scholar George Katona, William Dunkelberg, Jay Schmiedeskamp and Frank Stafford. 1960 Survey of Consumer Finances. Ann Arbor: University of Michigan, 1969. Google Scholar George Katona and Eva Mueller. Consumer Attitudes and Demand, 1950–52. Ann Arbor: University of Michigan, 1953. Google Scholar George Katona and Eva Mueller. Consumer Expectations, 1953–1956. Ann Arbor, University of Michigan, 1956. Google Scholar George Katona, Eva Mueller, Jay Schmiedeskamp and John A. Sonquist. 1966 Survey of Consumer Finances. Ann Arbor: University of Michigan, 1967. Google Scholar Arthur B. Laffer and Richard Zecher. " Anticipations and the Value of Money—Much Ado About Nothing", (University of Chicago unpublished manuscript, August, 1970). Google Scholar Frederick R. Macaulay, The Movements of Interest Rates, Bond Yields, and Stock Prices in the United States since 1856. New York, National Bureau of Economic Research, 1938. Google Scholar David Meiselman. " Bond Yields and the Price Level: The Gibson Paradox Regained", in D. Carson, (ed.) Banking and Monetary Studies, (Homewood, Illinois, Richard D. Irwin, Inc., 1963), 112–133. Google Scholar Brian Motley. "Inflation and Common Stock Values: Comment", Journal of Finance 24 (June, 1969), 530–535. 10.1111/j.1540-6261.1969.tb00371.x Web of Science®Google Scholar Donald A. Nichols. "A Note on Inflation and Common Stock Values", Journal of Finance 23 (September, 1968), 655–657. 10.1111/j.1540-6261.1968.tb00847.x Web of Science®Google Scholar Salomon Brothers and Hutzler. An Analytical Record of Yields and Yield Spreads. Sixty Wall Street, New York, 10005. Google Scholar Thomas J. Sargent, "Commodity Price Expectations and the Interest Rate", Quarterly Journal of Economics 83 (February, 1969), 127–140. 10.2307/1883997 Web of Science®Google Scholar Thomas J. Sargent. " Interest Rates and Prices in the Long Run: A Study of the Gibson Paradox", (working paper, March, 1971). Google Scholar Donald L. Tuttle and William L. Wilbur. "A Multivariate Time Series Investigation of Annual Returns on Highest Grade Corporate Bonds", Journal of Financial and Quantitative Analysis 6 (March, 1971), 707–721. 10.2307/2329706 Web of Science®Google Scholar Irwin Unger. The Greenback Era, A Social and Political History of American Finance, 1865–1879. Princeton: Princeton University Press, 1964. Google Scholar Roman L. Weil. "Realized Interest Rates and Bondholders' Returns", American Economic Review 60 (June, 1970), 502–511. Web of Science®Google Scholar Holbrook Working. "Note on the Correlation of First Differences of Averages in a Random Chain,'" Econometrica 28 (October, 1960) 916–918; reprinted in Paul H. Cootner (ed.), The Random Character of Stock Market Prices. Cambridge: M.I.T. Press, 1964. 10.2307/1907574 Web of Science®Google Scholar W. P. Yohe and D. S. Karnosky "Interest Rates and Price Level Changes, 1952–69", Federal Reserve Bank of St. Louis Review 51 (December, 1969), 18–36. Google Scholar Citing Literature Volume27, Issue2May 1972Pages 251-277 ReferencesRelatedInformation
Referência(s)