On interest rates and asset prices in Europe: the selected essays of Martin M. G. Fase
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Cheltenham [u.a.]
Elgar
1999
|
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis |
| Beschreibung: | XII, 299 S. graph. Darst. |
| ISBN: | 1840640200 |
Internformat
MARC
| LEADER | 00000nam a2200000 c 4500 | ||
|---|---|---|---|
| 001 | BV012883055 | ||
| 003 | DE-604 | ||
| 005 | 19991223 | ||
| 007 | t | ||
| 008 | 991201s1999 xxkd||| |||| 00||| eng d | ||
| 020 | |a 1840640200 |9 1-84064-020-0 | ||
| 035 | |a (OCoLC)833471070 | ||
| 035 | |a (DE-599)BVBBV012883055 | ||
| 040 | |a DE-604 |b ger |e rakddb | ||
| 041 | 0 | |a eng | |
| 044 | |a xxk |c XA-GB | ||
| 049 | |a DE-703 |a DE-12 |a DE-521 | ||
| 082 | 0 | |a 332.82094 | |
| 084 | |a QB 910 |0 (DE-625)141231: |2 rvk | ||
| 084 | |a QK 600 |0 (DE-625)141666: |2 rvk | ||
| 100 | 1 | |a Fase, Martin M. |e Verfasser |4 aut | |
| 245 | 1 | 0 | |a On interest rates and asset prices in Europe |b the selected essays of Martin M. G. Fase |
| 264 | 1 | |a Cheltenham [u.a.] |b Elgar |c 1999 | |
| 300 | |a XII, 299 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 650 | 0 | 7 | |a Wertpapiermarkt |0 (DE-588)4189708-0 |2 gnd |9 rswk-swf |
| 650 | 0 | 7 | |a Zins |0 (DE-588)4067845-3 |2 gnd |9 rswk-swf |
| 651 | 7 | |a Europa |0 (DE-588)4015701-5 |2 gnd |9 rswk-swf | |
| 655 | 7 | |0 (DE-588)4143413-4 |a Aufsatzsammlung |2 gnd-content | |
| 689 | 0 | 0 | |a Europa |0 (DE-588)4015701-5 |D g |
| 689 | 0 | 1 | |a Zins |0 (DE-588)4067845-3 |D s |
| 689 | 0 | |5 DE-604 | |
| 689 | 1 | 0 | |a Europa |0 (DE-588)4015701-5 |D g |
| 689 | 1 | 1 | |a Wertpapiermarkt |0 (DE-588)4189708-0 |D s |
| 689 | 1 | |5 DE-604 | |
| 856 | 4 | 2 | |m HBZ Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008769590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-008769590 | ||
Datensatz im Suchindex
| _version_ | 1804127569479467008 |
|---|---|
| adam_text | Contents
List of Figures vii
List of Tables ix
Acknowledgements xiii
Introduction 1
PART ONE: ON INTEREST RATES
1. A Principal Components Analysis of Market Interest Rates
in The Netherlands, 1962 1970 7
2. The Interdependence of Short term Interest Rates in the
Major Financial Centres of the World: Some Evidence for
1961 1972 33
3. On Interest Rates in Belgium and The Netherlands:
A Comparative Analysis of Interest Rate Developments and
Financial Innovations, 1980 1984 57
4. International Convergence of Capital Market Interest Rates 83
5. Bond Yields and Expected Inflation: A History of Dutch
Experience 97
6. Anticipated Inflation and Interest Rates in an Open
Economy: A Study of the Gibson Paradox for
The Netherlands 111
7. The Fisher Hypothesis and Exchange Rates in EMU 133
v
vi Contents
8. The Demand for Mortgage Credit and the Mortgage Rate in
The Netherlands 147
9. Seventy Years of Interest Rates: Theory and Empirical
Evidence 171
PART TWO: ON ASSET PRICES
10. Index linked Bonds and Inflation Risk in EMU 195
11. Price Determination on the Equity Market:
A Macroeconomic View 205
12. The Linkage of Stock Exchange Markets between Countries 217
13. The Interaction between Trading Volume of Stocks
and Options: Some Statistical Evidence 223
14. The Equity Premium Puzzle 239
15. The Risk Premium on Equity in Core EMU 249
16. Purchase of Art: Consumption and Investment 259
Bibliography 269
Name Index 289
Subject Index 293
List of Figures
1.1 Three money market rates and the official discount rate,
1962 1970 10
1.2 Three money market rates and the official discount rate,
1962 1970 10
1.3 Three money market rates and the official discount rate,
1962 1970 11
1.4 Six capital market yields and the official discount rate,
1962 1970 12
1.5 Four capital market yields and the official discount rate,
1962 1970 12
1.6 First and second principal component of call money
rate, 1962 1970 17
1.7 First and second principal component of net Euro dollar
rate, 1962 1970 18
1.8 First and second principal component of yield on the
three latest government loans, 1962 1970 22
1.9 First and second principal component of yield on local
shares, 1962 1970 23
1.10 First and second principal component of yield on the
three latest government loans and on local shares, July
1966 December 1970 24
1.11 The first three principal components and the normalized
yields on the latest three government loans (zu), on
local shares (219) and the percentage price change (221) 29
2.1 The first three principal components of covered
international interest rates and the normalized
short term interest rate on the US money market 44
2.2 The first three principal components of uncovered
international interest rates and the normalized
short term interest rate on the US money market 47
3.1 Interest rates for Belgium 1980 1984 61
3.2 Interest rates for Belgium 1980 1984 62
3.3 Interest rates for Belgium 1980 1984 62
3.4 Interest rates for The Netherlands 1980 1984 64
vii
viii List of Figures
3.5 Interest rates for The Netherlands 1980 1984 64
3.6 Interest rates for The Netherlands 1980 1984 65
3.7 Interest rates for The Netherlands 1980 1984 65
4.1 The first four principal components of the long interest
rate changes for twelve countries, calculated over a
moving period of 60 months 86
4.2 Principal components analysis of interest rate changes,
calculated over a moving period of 60 months 87
4.3 Trace test on capital market interest rates,
calculated over a moving period of 120 months 90
4.4 Correlations of interest rate changes and exchange rate
volatility between Germany and the US,
calculated over a moving period of 60 months 92
4.5 Recursive coefficients for the influence of capital market
interest rates in the US on those in Germany 93
5.1 Interest rates and prices in The Netherlands, 1901 1971 99
5.2 Yield on government loans in The Netherlands,
1961 1970 105
5.3 The interest equation rt 3.48 + J2]Lo wiPt i 107
6.1 Interest rates and prices in The Netherlands,
1958 1974 113
6.2 Actual and anticipated rates of inflation, 1958 1972 121
6.3 Actual and simulated rates of interest for The
Netherlands, 1958 1973 125
8.1 Relative shares in the total supply of new mortgage
credits by financial institutions 150
8.2 The interest rates on mortgages and government bonds 154
8.3 The demand for housing mortgages 157
8.4 The demand for non housing mortgages 158
8.5 The interest rate differential between mortgages and
government bonds 159
9.1 Movement in Dutch interest rates 177
9.2 Capital market interest rates in six countries 179
9.3 Real interest rates 180
10.1 Inflation and inflation expectations at two different ma¬
turities 199
10.2 Expected and actual changes in inflation 199
14.1 Risk free interest rate, return on equities and equity
premium in The Netherlands, 1840 1995 243
14.2 Equity premium in The Netherlands, fifty year moving
average 244
14.3 The risk free interest rate in The Netherlands 246
List of Tables
1.1 Means and standard deviations of selected money
market interest rates, 1962 1970 9
1.2 Means and standard deviations of selected capital
market rates, 1962 1970 13
1.3 Three largest eigenvalues for 10 money market interest
rates, January 1962 December 1970 16
1.4 Factor loadings of the first and second principal
component of money market interest rates, 1962 1970 16
1.5 Three largest eigenvalues for 10 capital market interest
rates, January 1962 December 1970 19
1.6 Factor loadings of the first and second principal
component of capital market interest rates 20
1.7 Factor loadings of the first four principal components
on rates of the market of financial assets, 1962 1970 25
1.8 Varimax rotation of factor loadings on 20 market
interest rates and price changes, 1962 1970 28
2.1 Means and standard deviations of short term interest
rates in 11 countries, 1961 1972 35
2.2 Five largest latent roots of 11 international interest
rates, January 1961 December 1972 40
2.3 Three largest latent roots of 11 covered money market
interest rates in five sub periods of the period January
1961 December 1972 40
2.4 Factor loadings of the first and second principal
component of 11 covered market interest rates, January
1961 December 1972 42
2.5 Three largest latent roots of 11 uncovered money market
interest rates in five sub periods of the period January
1961 December 1972 45
2.6 Factor loadings of the first, second and third principal
component of 11 uncovered market interest rates,
January 1961 December 1972 46
ix
x List of Tables
2.7 Correlation between US Treasury bill rate and the
principal component for covered, uncovered, and the
Euro dollar interest rate, 1961 1972 50
2.A.I Varimax rotation of Table 2.4 54
2.A.2 Varimax rotation of Table 2.6 55
3.1 Means and standard deviations of selected money
market and capital market rates for Belgium, 1980 1984 60
3.2 Means and standard deviations of selected money
market and capital market rates for The Netherlands,
1980 1984 63
3.3 Factor loadings of the first principal components of
interest rates and the rate of inflation in Belgium,
1980 1984 69
3.4 Factor loadings of the first principal components of
interest rates and the rate of inflation in The
Netherlands,
1980 1984 71
3.5 Summary of the results of earlier and present studies
for Belgium and The Netherlands 73
3.6 Factor loadings of selected interest rates and inflation
rates in The Netherlands and Belgium, 1980 1984 74
3.7 Factor loadings of interest rates in Belgium and The
Netherlands plus long term rate for US and Germany,
1980 1984 77
3.8 Contribution of the first five principal components to
the total variation of the first differences at 14 interest
rates and the rate of inflation in Belgium 79
3.9 Contribution of the first five principal components to
the total variation of the first differences at 20 interest
rates and the rate of inflation in The Netherlands 79
5.1 Coefficients of correlation for yield and price levels,
1901 1971 100
5.2 Estimated results of equation (5.3) with Almon lags 106
5.A.I Some alternative estimates 109
6.1 Estimation results for quarterly models 120
6.2 Parameter values of the model 122
6.3 Impact multiplier of irt for different values of a2 123
6.B.I Estimation results for monthly and quarterly models 130
6.B.2 Reduced form interest equation for alternative values of
a2 (with C = 212 x 10~7) 131
7.1 Estimation results, The Netherlands, Belgium, France
and Germany 141
List of Tables xi
7.2 Long term effects of the variables on capital market
interest rates 143
8.1 Percentage distribution of newly registered ordinary
mortgage loans according to nature of property pledged,
1965 1974 149
8.2 Average percentage share of total mortgage lending done
by financial institutions, and the standard deviation 149
8.3 Estimation results for the allocation model,
1960:11 1974:1 163
8.4 Predictive power allocation model (8.8) 165
9.1 Averages for, and standard deviations in, four Dutch
interest rates 177
9.2 Averages for, and standard deviations in, capital market
interest rates in six countries, together with inflation in
the industrialized nations 178
9.3 Interest rate comparisons in empirical macroeconomic
models 184
9.4 Interest rate equations in single studies 188
9.5 Influence of a one percentage point rise in foreign
interest rates on the domestic capital market interest
rate 190
10.1 Estimation results for the period March 1982 to August
1994 201
11.A.I Results of statistical analysis 215
12.1 ARIMA models and diagnostic checks for share prices
in eleven industrial countries, 1971 1976 219
12.2 Test statistic 5ij, for mi = m2 = 13 220
12.3 Pattern of significant lags among Dutch and country i s
share prices 220
13.1 Summary statistics sample for 1989 228
13.2 Number of outstanding shares, shares traded and
options traded 229
13.3 Frequency of different ARIMA model specifications,
1985 1989 230
13.4 Frequency of different ARIMA model specifications,
1985 1989 232
13.5 Summary of test results 234
13.6 Summary of test results 235
14.1 Return and risk premium in The Netherlands 242
14.2 Risk aversion in The Netherlands 245
15.1 Results found by Mehra and Prescott 252
15.2 Rates of return, rate of inflation and equity premium 253
xii List of Tables
15.3 Risk aversion and the other required estimates 255
16.1 Nominal returns on investments in art 265
16.2 Average nominal total return in the UK on a number of
investment categories 267
|
| any_adam_object | 1 |
| author | Fase, Martin M. |
| author_facet | Fase, Martin M. |
| author_role | aut |
| author_sort | Fase, Martin M. |
| author_variant | m m f mm mmf |
| building | Verbundindex |
| bvnumber | BV012883055 |
| classification_rvk | QB 910 QK 600 |
| ctrlnum | (OCoLC)833471070 (DE-599)BVBBV012883055 |
| dewey-full | 332.82094 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.82094 |
| dewey-search | 332.82094 |
| dewey-sort | 3332.82094 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
| fullrecord | <?xml version="1.0" encoding="UTF-8"?><collection xmlns="http://www.loc.gov/MARC21/slim"><record><leader>01621nam a2200433 c 4500</leader><controlfield tag="001">BV012883055</controlfield><controlfield tag="003">DE-604</controlfield><controlfield tag="005">19991223 </controlfield><controlfield tag="007">t</controlfield><controlfield tag="008">991201s1999 xxkd||| |||| 00||| eng d</controlfield><datafield tag="020" ind1=" " ind2=" "><subfield code="a">1840640200</subfield><subfield code="9">1-84064-020-0</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(OCoLC)833471070</subfield></datafield><datafield tag="035" ind1=" " ind2=" "><subfield code="a">(DE-599)BVBBV012883055</subfield></datafield><datafield tag="040" ind1=" " ind2=" "><subfield code="a">DE-604</subfield><subfield code="b">ger</subfield><subfield code="e">rakddb</subfield></datafield><datafield tag="041" ind1="0" ind2=" "><subfield code="a">eng</subfield></datafield><datafield tag="044" ind1=" " ind2=" "><subfield code="a">xxk</subfield><subfield code="c">XA-GB</subfield></datafield><datafield tag="049" ind1=" " ind2=" "><subfield code="a">DE-703</subfield><subfield code="a">DE-12</subfield><subfield code="a">DE-521</subfield></datafield><datafield tag="082" ind1="0" ind2=" "><subfield code="a">332.82094</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QB 910</subfield><subfield code="0">(DE-625)141231:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="084" ind1=" " ind2=" "><subfield code="a">QK 600</subfield><subfield code="0">(DE-625)141666:</subfield><subfield code="2">rvk</subfield></datafield><datafield tag="100" ind1="1" ind2=" "><subfield code="a">Fase, Martin M.</subfield><subfield code="e">Verfasser</subfield><subfield code="4">aut</subfield></datafield><datafield tag="245" ind1="1" ind2="0"><subfield code="a">On interest rates and asset prices in Europe</subfield><subfield code="b">the selected essays of Martin M. G. Fase</subfield></datafield><datafield tag="264" ind1=" " ind2="1"><subfield code="a">Cheltenham [u.a.]</subfield><subfield code="b">Elgar</subfield><subfield code="c">1999</subfield></datafield><datafield tag="300" ind1=" " ind2=" "><subfield code="a">XII, 299 S.</subfield><subfield code="b">graph. Darst.</subfield></datafield><datafield tag="336" ind1=" " ind2=" "><subfield code="b">txt</subfield><subfield code="2">rdacontent</subfield></datafield><datafield tag="337" ind1=" " ind2=" "><subfield code="b">n</subfield><subfield code="2">rdamedia</subfield></datafield><datafield tag="338" ind1=" " ind2=" "><subfield code="b">nc</subfield><subfield code="2">rdacarrier</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Wertpapiermarkt</subfield><subfield code="0">(DE-588)4189708-0</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="650" ind1="0" ind2="7"><subfield code="a">Zins</subfield><subfield code="0">(DE-588)4067845-3</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="651" ind1=" " ind2="7"><subfield code="a">Europa</subfield><subfield code="0">(DE-588)4015701-5</subfield><subfield code="2">gnd</subfield><subfield code="9">rswk-swf</subfield></datafield><datafield tag="655" ind1=" " ind2="7"><subfield code="0">(DE-588)4143413-4</subfield><subfield code="a">Aufsatzsammlung</subfield><subfield code="2">gnd-content</subfield></datafield><datafield tag="689" ind1="0" ind2="0"><subfield code="a">Europa</subfield><subfield code="0">(DE-588)4015701-5</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="0" ind2="1"><subfield code="a">Zins</subfield><subfield code="0">(DE-588)4067845-3</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="0" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="689" ind1="1" ind2="0"><subfield code="a">Europa</subfield><subfield code="0">(DE-588)4015701-5</subfield><subfield code="D">g</subfield></datafield><datafield tag="689" ind1="1" ind2="1"><subfield code="a">Wertpapiermarkt</subfield><subfield code="0">(DE-588)4189708-0</subfield><subfield code="D">s</subfield></datafield><datafield tag="689" ind1="1" ind2=" "><subfield code="5">DE-604</subfield></datafield><datafield tag="856" ind1="4" ind2="2"><subfield code="m">HBZ Datenaustausch</subfield><subfield code="q">application/pdf</subfield><subfield code="u">http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008769590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA</subfield><subfield code="3">Inhaltsverzeichnis</subfield></datafield><datafield tag="999" ind1=" " ind2=" "><subfield code="a">oai:aleph.bib-bvb.de:BVB01-008769590</subfield></datafield></record></collection> |
| genre | (DE-588)4143413-4 Aufsatzsammlung gnd-content |
| genre_facet | Aufsatzsammlung |
| geographic | Europa (DE-588)4015701-5 gnd |
| geographic_facet | Europa |
| id | DE-604.BV012883055 |
| illustrated | Illustrated |
| indexdate | 2024-07-09T18:35:26Z |
| institution | BVB |
| isbn | 1840640200 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-008769590 |
| oclc_num | 833471070 |
| open_access_boolean | |
| owner | DE-703 DE-12 DE-521 |
| owner_facet | DE-703 DE-12 DE-521 |
| physical | XII, 299 S. graph. Darst. |
| publishDate | 1999 |
| publishDateSearch | 1999 |
| publishDateSort | 1999 |
| publisher | Elgar |
| record_format | marc |
| spelling | Fase, Martin M. Verfasser aut On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase Cheltenham [u.a.] Elgar 1999 XII, 299 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Wertpapiermarkt (DE-588)4189708-0 gnd rswk-swf Zins (DE-588)4067845-3 gnd rswk-swf Europa (DE-588)4015701-5 gnd rswk-swf (DE-588)4143413-4 Aufsatzsammlung gnd-content Europa (DE-588)4015701-5 g Zins (DE-588)4067845-3 s DE-604 Wertpapiermarkt (DE-588)4189708-0 s HBZ Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008769590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Fase, Martin M. On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase Wertpapiermarkt (DE-588)4189708-0 gnd Zins (DE-588)4067845-3 gnd |
| subject_GND | (DE-588)4189708-0 (DE-588)4067845-3 (DE-588)4015701-5 (DE-588)4143413-4 |
| title | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_auth | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_exact_search | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_full | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_fullStr | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_full_unstemmed | On interest rates and asset prices in Europe the selected essays of Martin M. G. Fase |
| title_short | On interest rates and asset prices in Europe |
| title_sort | on interest rates and asset prices in europe the selected essays of martin m g fase |
| title_sub | the selected essays of Martin M. G. Fase |
| topic | Wertpapiermarkt (DE-588)4189708-0 gnd Zins (DE-588)4067845-3 gnd |
| topic_facet | Wertpapiermarkt Zins Europa Aufsatzsammlung |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=008769590&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT fasemartinm oninterestratesandassetpricesineuropetheselectedessaysofmartinmgfase |