Monetary Policy and Investment Opportunities

By Laura S. Nowak | Go to book overview
considerably greater in 1986, 1987, and 1988 than in any other year since 1966. "Normal volatility," however, measured as the standard deviation of monthly capital gains returns from the yearly average of the S&P 500, was not unusually high in the 1980s. Sean Becketti and Gordon H. Sellon Jr., "Has Financial Volatility Increased?" Financial Market Volatility and the Economy ( Kansas City, Mo.: Federal Reserve Bank of Kansas City, 1990), 3-16.
3.
Nowak, "The Volatility of Short Term Interest Rates,"8-12.
4.
Robert W. Kolb, Understanding Futures Markets (Glenview, Ill.: Scott Foresman Publisher, 1990), 319.
5.
Ibid.
6.
As of January 1, 1992.
7.
The value of outstanding dollar swaps grew over the decade:
1982 $5 billion
1984 45
1986 430
1988 1,100
1990 2,000

These are estimates, since there are no official figures. Marshall and Kapner, Understanding Swap Finance, 9; "Bull Market for Derivatives Outruns Rules," C1.


REFERENCES

Black Fischer. "The Pricing of Commodity Contracts." Journal of Financial Economics 3 ( September 1976): 167-79.

Black Fischer, and Myron Scholes. "The Pricing of Options and Corporate Liabilities." Journal of Political Economy 81 ( May/June 1973): 637-54.

"Bull Market for Derivatives Outruns Rules." Wall Street Journal, 24 July 1991, C1.

Chua Jess H., Gordon Sick, and Richard S. Woodward. "Diversifying with Gold Stocks." Financial Analysts Journal 46 ( July/August 1990): 76-79.

Kolb Robert W. Understanding Futures Markets. 2d ed. Glenview, Ill.: Scott Foresman & Co., 1988.

Kopke Richard W., and Eric S. Rosengren. "Are the Distinctions between Debt and Equity Disappearing? An Overview." The New England Economic Review--Federal Reserve Bank of Boston ( March/April 1990): 3-10.

Levich Richard M. "The Efficiency of Markets for Foreign Exchange: A Review and Extension." Reprinted in International Finance: Concepts and Issues, edited by R. Kolb and G. Gay, 406. Richmond, Va.: Robert F. Dame, Inc., 1982.

Marshall John F., and Kenneth R. Kapner. Understanding Swap Finance. Cincinnati, Ohio: South-Western Publishing Co., 1990.

Merrick John J. Jr. Financial Futures Markets, Structure, Pricing & Practice. Grand Rapids, Mich.: Harper & Row, Ballinger Division, 1990.

Merton Robert C. "Theory of Rational Option Pricing." Bell Journal of Economics and Management Science 4 ( 1973): 141-83.

Strong Robert A. Speculative Markets: Options, Futures and Hard Assets. White Plains, NY: Longman Publishing Group, 1989.

-182-

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