scholarly journals Social Security Investment in Equities

2003 ◽  
Vol 93 (4) ◽  
pp. 1047-1074 ◽  
Author(s):  
Peter Diamond ◽  
John Geanakoplos
Keyword(s):  
Social Security ◽  
Interest Rates ◽  
Equity Premium ◽  
Short Term ◽  
Expected Return ◽  
Risky Investment ◽  
Asset Values ◽  
Aggregate Investment ◽  
Short Term Investment

This paper explores the general-equilibrium impact of social security portfolio diversification into private securities, either through the trust fund or private accounts. The analysis depends critically on heterogeneities in saving, production, assets, and taxes. Limited diversification weakly increases interest rates, reduces the expected return on short-term investment (and the equity premium), decreases safe investment, increases risky investment, and increases a suitably weighted social welfare function. However, the effects on aggregate investment, long-term capital values, and the utility of young savers hinges on assumptions about technology. Aggregate investment and long-term asset values can move in opposite directions.

scholarly journals The Issues and Implications About the Volatility of the Stock and the Bond Prices and Their Returns and the Volatility of Interest Rates and Inflation - Which Are Being Researched in Finance and Macro-Monetary Economics Literature: A Survey

2018 ◽  
Vol 5 (2) ◽  
pp. 125 ◽  
Author(s):  
Muthucattu Thomas Paul
Keyword(s):  
Interest Rates ◽  
Stock Returns ◽  
Futures Markets ◽  
Relevant Literature ◽  
Aggregate Demand ◽  
Monetary Economics ◽  
Short Term ◽  
Expected Return ◽  
The Cost

Volatility of returns of the financial assets, and the volatility of the inflation and aggregate demand, are important issues in the Financial markets, and the macro- monetary economics. In this article, the volatility in the stock and bond markets are surveyed and discussed in detail. Our view is that the higher volatility in the long-term rates than in the short-term rates, may be due to the higher leverage effect in the long-term markets and rates than in the short -term rates. In the previous century, last fifty years, the average stock returns were much higher and the expected return or the cost of capital was lower. The conditional volatility models and the volatility spill over between the spot and futures markets and their implications are deeply explored in this article along with the price discovery between spot and futures markets and the conditions for the efficiency in these markets. In our section dealing with Macro- monetary economics, the effect of the variability of inflation on the demand for money function, on the nominal rates of interest, and on the slope of the aggregate supply curve, are brought into sharp focus and is being discussed through the relevant literature survey.

scholarly journals CANDIDE et la monnaie

2009 ◽  
Vol 52 (1) ◽  
pp. 75-103
Author(s):  
Jean-Pierre Aubry ◽  
Pierre Duguay
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Term Structure ◽  
Structural Equations ◽  
Reduced Form ◽  
Real Sector ◽  
Short Term ◽  
The Real ◽  
Structure Equations

Abstract In this paper we deal with the financial sector of CANDIDE 1.1. We are concerned with the determination of the short-term interest rate, the term structure equations, and the channels through which monetary policy influences the real sector. The short-term rate is determined by a straightforward application of Keynesian liquidity preference theory. A serious problem arises from the directly estimated reduced form equation, which implies that the demand for high powered money, but not the demand for actual deposits, is a stable function of income and interest rates. The structural equations imply the opposite. In the term structure equations, allowance is made for the smaller variance of the long-term rates, but insufficient explanation is given for their sharper upward trend. This leads to an overstatement of the significance of the U.S. long-term rate that must perform the explanatory role. Moreover a strong structural hierarchy, by which the long Canada rate wags the industrial rate, is imposed without prior testing. In CANDIDE two channels of monetary influence are recognized: the costs of capital and the availability of credit. They affect the business fixed investment and housing sectors. The potential of the personal consumption sector is not recognized, the wealth and real balance effects are bypassed, the credit availability proxy is incorrect, the interest rate used in the real sector is nominal rather than real, and the specification of the housing sector is dubious.

scholarly journals Macroeconomic Synchronization Between G3 Countries

2002 ◽  
Vol 3 (2) ◽  
pp. 137-153 ◽  
Author(s):  
Amado Peirό
Keyword(s):  
Business Cycle ◽  
Interest Rates ◽  
Short Term ◽  
The Us ◽  
Production Prices ◽  
Over Time

AbstractThis paper studies the existence of a world business cycle by examining quarterly and annual comovements in production, prices and interest rates in the three main world economies: Germany, Japan and the US. In accordance with earlier studies, contemporaneous relationships clearly dominate short-term dynamics. The evidence indicates the existence of strong comovements in prices and long-term interest rates, and, to a lesser degree, in GDP and short-term interest rates. They are, however, rather unstable over time.

scholarly journals Journal of the History of Economic Thought Preprints - Limits to Arbitrage and Interest Rates: A Debate Between Keynes, Hawtrey and Hicks

2018 ◽  
Author(s):  
Lucy BRILLANT
Keyword(s):  
Business Cycle ◽  
Central Bank ◽  
Interest Rates ◽  
Economic Thought ◽  
History Of Economic Thought ◽  
Short Term ◽  
Limits To Arbitrage ◽  
History Of ◽  
The Business Cycle

This paper deals with a debate between Hawtrey, Hicks and Keynes concerning the capacity of the central bank to influence the short-term and the long-term rates of interest. Both Hawtrey and Keynes considered the central bank’s ability to influence short-term rates of interest. However, they do not put the same emphasis on the study of the long-term rates of interest. According to Keynes, long-term rates are influenced by future expected short-term rates (1930, 1936), whereas for Hawtrey (1932, 1937, 1938), long-term rates are more dependent on the business cycle. Short-term rates do not have much effect on long-term rates according to Hawtrey. In 1939, Hicks enters the controversy, giving credit to both Hawtrey’s and Keynes’s theories, and also introducing limits to the operations of arbitrage. He thus presented a nuanced view.

scholarly journals Analisis Peluang Penyertaan Modal Pemerintah Daerah Kota XYZ pada PT Bank Jawa Barat dan Banten (Bank BJB)

2016 ◽  
Vol 2 (1) ◽  
pp. 54
Author(s):  
Dian Yudo Palupi ◽  
Farida Ratna Dewi ◽  
R. Dikky Indrawan
Keyword(s):  
Swot Analysis ◽  
Financial Analysis ◽  
Risk Exposure ◽  
Regional Government ◽  
Government Bond ◽  
Short Term ◽  
Small Risk ◽  
Short Term Investment ◽  
Stock Share

Economic growth and public welfare are the reason of regional autonomy regulation policy (UU No 22 year 1999). The policy allows regional economic resources managed by regional government to achieve its goal. One of the regional government strategies is investment strategy, which in this case investing in banking industry. The purposes of the study are 1) to identify the investment regulation on regional government 2) to identify the Bank BJB business and investment environment 3) to identify the comparison of investment feasibility on Bank BJB versus other banks 4) to identify the position of Stock Share A series owned by XYZ at Bank BJB. The data collection methods are using structured interview, in depth interview, field survey and literature study. The analysis tools are using institutional analysis, SWOT analysis and financial analysis. Institutional analysis showed XYZ regional government investment management is limited to regulation as follow 1) long term capital (stock share) investment limited only at BUMD (e.g. Bank BJB) 2) short term investment e.g. saving and deposit is limited only at healthy and feasible bank, and government bond which has small risk exposure. The financial analysis also showed the increasing performance of BJB Earning per Share (EPS) and Return on Equity (ROE) from 2006 until 2010. The SWOT analysis support other analysis that BJB Bank position in financial industry is suitable for long term and short term investment for XYZ regional government. Base on explanation above, the conclusions are the autonomy regulation limited XYZ regional government to invest as shareholders in A series (stock share) or B series (stock share) at BJB Bank only, and for short term investment is limited only at healthy and feasible bank, and government bond which has small risk exposure.

How loan interest rate liberalization affects firms’ loan maturity structure

2014 ◽  
Vol 4 (2) ◽  
pp. 153-167 ◽  
Author(s):  
Jianfang Zhou ◽  
Jingjing Wang ◽  
Jianping Ding
Keyword(s):  
Interest Rate ◽  
Interest Rates ◽  
Manufacturing Companies ◽  
Short Term ◽  
Data Set ◽  
Content Type ◽  
Interest Rate Liberalization ◽  
Upper Limit ◽  
Maturity Structure

Purpose – After loan interest rate upper limit deregulation in October 2004, the financing environment in China changed dramatically, and the banks were eligible for risk compensation. The purpose of this paper is to focus on the influence of the loan interest rate liberalization on firms’ loan maturity structure. Design/methodology/approach – Based on Rajan's (1992) model, the authors constructed a trade-off model of how the banks choose long-term and short-term loans scales, and further analyzed banks’ loan term decisions under the loan interest rate upper limit deregulation or collateral cases. Then the authors used an unbalanced panel data set of 586 Chinese listed manufacturing companies and 9,376 observations during the period 1996-2011 to testify the theoretical conclusion. Furthermore, the authors studied the effect on firms with different characteristics of ownership or scale. Findings – The results show that the loan interest rate liberalization significantly decreases the private companies’ reliance on short-term loans and increases sensitivity to interest rates of state-owned companies’ long-term loans. But the results also show that the companies’ ownership still plays a key role on the long-term loans availability. When monetary policy tightened, small companies still have to borrow short-term loans for long-term purposes. As the bank industry is still dominated by state-owned banks and the deposit interest rate has upper limits, the effect of the loan interest rate liberalization on easing long-term credit constraints is limited. Originality/value – From a new perspective, the content and findings of this paper contribute to the study of the effect of the interest rate liberalization on China economy.

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