Journal of Money, Credit & Banking

Reports major findings in the study of financial institutions, financial markets, monetary and fiscal policy, credit markets, money and banking.

Articles from Vol. 28, No. 1, February

A Daily View of Yield Spreads and Short-Term Interest Rate Movements
IT IS WIDELY APPRECIATED that forecasting interest rates is difficult, and the poor quality of forecasts based on the short end of the term structure is at the core of the conventional wisdom in finance. Specifically, though the expectations hypothesis...
Are Real Exchange Rates Nonstationary? Evidence from a Panel-Data Test
PURCHASING POWER PARITY (PPP) is one of the most important conditions in international finance because many models of exchange-rate determination are built on the assumption that it holds.(1) The PPP principle is crucial in understanding the nature of...
Do Excess Holding-Period Returns Depend on the Composition of Outstanding Federal Debt?
This note revisits an old question, the impact of maturity composition of outstanding federal debt on financial markets. The subject is worth revisiting for two reasons. First, in 1993 the U.S. Treasury announced intentions to finance more of its debt...
On the Macroeconomic Policy Implications of Habit Persistence
IN THE HABIT-PERSISTENCE MODEL of Ryder and Heal (1973) instantaneous utility depends on both current consumption and the habitual standard of living, represented by a weighted average of past levels of consumption. This model has been used recently...
The Effect of Uncertainty on Investment: Some Stylized Trends
ECONOMIC THEORY has much to say about the relationship between uncertainty and investment. Taken as a whole, however, what theory has to say is ambiguous. Different theories emphasize different channels, some pointing to a positive relationship and some...
The Long-Run Relationship between Nominal Interest Rates and Inflation: The Fisher Equation Revisited
THE PAST SEVERAL DECADES have seen numerous empirical studies of the Fisher equation. This well-known hypothesis, introduced by Irving Fisher (1930), maintains that the nominal interest rate is the sum of the constant real rate and expected decline in...
Time Irreversibility and Business Cycle Asymmetry
BUSINESS CYCLE ASYMMETRY has been a topic of great interest to economists ever since the work by Burns and Mitchell (1946). More recently, the seminal article by Neftci (1984) stimulated renewed interest in the subject and introduced both new concepts...
Timing Is All: Elections and the Duration of United States Business Cycles
THEORIES OF POLITICAL BUSINESS CYCLES predict that the quadrennial election cycle in the United States should affect the timing of the peaks and troughs of United States business cycles. Various political business cycles theories have different implications...
Unexpected Inflation and Stock Returns Revisited - Evidence from Israel
THE RELATIONSHIP between unexpected inflation and stock prices in the United States is unclear. While some studies found a significant negative relationship (Bodie 1976; Jaffe and Mandelker 1976; Nelson 1976; Fama and Schwert 1977; Schwert 1981; Fama...