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Bank:Federal Reserve Bank of San Francisco  Series:Economic Review 

Journal Article
Pricing debt instruments: the options approach

Economic Review , Issue Sum , Pages 19-30

Journal Article
Financial market signals and banking supervision: are current practices consistent with research findings?

The trend toward incorporating information derived from financial markets into the bank supervision process has gained momentum over the past several years. This in part reflects an evolution in the thinking about how private market information can contribute to the process. In light of the evolving view of the potential contributions of market information, this paper reviews the empirical evidence relevant to the usefulness of financial market information in the bank supervision process. This paper reviews the research on what information can be gleaned from the pricing of equity and debt ...
Economic Review

Journal Article
Equity shares and the financial markets

Economic Review , Issue Sum , Pages 25-33

Journal Article
Banking the boom

Economic Review , Issue May , Pages 9-13

Journal Article
Inflation and the efficiency of capital markets

Economic Review , Issue Sum , Pages 17-24

Journal Article
Comovements among national stock markets

This paper uses the methodology of Hansen and Jaganathan (1991) to derive a lower bound on the correlation between any pair of asset returns under the hypothesis of complete markets. The bound is a simple function of the two assets' Sharpe ratios and the coefficient of variation of a unique stochastic discount factor. The paper uses this bound to conduct robust, nonparametric tests of the hypothesis that international equity markets are integrated. ; Using monthly stock return data from the U.S., Japan, and Great Britain for the period 1980 through 1993, I find that conclusions about market ...
Economic Review

Journal Article
Economic factors, monetary policy and expected returns on stocks and bonds

This paper examines the impact of the stance of monetary policy on security returns. The two measures of the stance of monetary policy used, the federal funds rate and an index based on the changes in the discount rate, contain significant information that can be used to forecast expected stock and bond portfolio returns. Specifically, we find that a restrictive (expansive) monetary policy stance decreases (increases) returns of large and small stock portfolios and in some cases, corporate bond portfolios. The monetary policy stance measures have explanatory power in forecasting stock and ...
Economic Review

Journal Article
Whither the unemployment rate?

Economic Review , Issue Spr , Pages 40-54

Journal Article
Inflation, growth and exchange rates

Economic Review , Issue Fall , Pages 5-7

Journal Article
Monetary and fiscal impacts on exchange rates

Economic Review , Issue Win , Pages 19-36

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anonymous 37 items

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