On interest rates and asset prices in Europe : the selected essays of Martin M.G. Fase
著者
書誌事項
On interest rates and asset prices in Europe : the selected essays of Martin M.G. Fase
E. Elgar, c1999
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注記
"The 16 papers collected in this book cover a quarter of a century of empirical research"--Introd
Bibliography: p. 269-287
Includes index
内容説明・目次
内容説明
This book presents a quarter of a century of empirical research on interest rates and a variety of asset prices. It will serve to deepen our understanding of asset price inflation. The book includes extensive analysis of the measurement of interest rates, with case studies from The Netherlands, Belgium and EMU, and emphasizes statistical measurement and the attempt to understand interest rate behaviour through statistical estimation. The book also includes an examination of historical interest rate development in the long run, both theoretically and empirically. In conclusion, Professor Fase also analyses the behaviour of bonds, stocks and investment in art and examines the factors indispensable for a monetary strategy designed to target inflation.
目次
Contents: Introduction Part I: On Interest Rates 1. A Principal Components Analysis of Market Interest Rates in The Netherlands, 1962-1970 2. The Interdependence of Short-term Interest Rates in the Major Financial Centres of the World 3. On Interest Rates in Belgium and The Netherlands 4. International Convergence of Capital Market Interest Rates 5. Bond Yields and Expected Inflation 6. Anticipated Inflation and Interest Rates in an Open Economy 7. The Fisher Hypothesis and Exchange Rates in EMU 8. The Demand for Mortgage Credit and the Mortgage Rate in The Netherlands 9. Seventy Years of Interest Rates Part II: On Asset Prices 10. Index-linked Bonds and Inflation Risk in EMU 11. Price Determination on the Equity Market 12. The Linkage of Stock Exchange Markets Between Countries 13. The Interaction Between Trading Volume of Stocks and Options 14. The Equity Premium Puzzle 15. The Risk Premium on Equity in Core EMU 16. Purchase of Art Bibliography Index
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