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Conference Paper
Tax reform and financial markets
Working Paper
The risk-free U.S. bond rate : errors in construction and use in econometric work
Observed differentials among yield series for different types of long-term instruments--U.S. government bonds, municipal bonds, corporate bonds and residential mortgages--vary considerably over time.
Journal Article
Neutralization of the money stock
Working Paper
Treasury bill rates in the 1970s and 1980s
As is widely recognized, real interest rates in the early 1980s were at peaks not witnessed since the late 1920s. Less well perceived is the sharp decline in real interest rates in the middle 1980s to their average levels of the previous quarter century. This paper seeks to identify the underlying determinants of the major movements in real six-month Treasury bill rates. The primary innovation is the development of a new monetary policy proxy that explains much of the real rate movement in the 1980s.
Conference Paper
Patterns and determinants of metropolitan house prices, 1977 to 1991
Working Paper
How Taxes and Required Returns Drove Commercial Real Estate Valuations over the Past Four Decades
We document the evolution of U.S. tax law regarding commercial real estate (CRE) since 1975, noting changes in income and capital gains tax rates and tax depreciation methods. The most prominent changes were the 1981 and 1986 Tax Acts, but numerous significant changes occurred in the last dozen years. We then compute the present value of tax depreciation per dollar of acquisition price and an effective tax rate for CRE. We explain the quarterly variation in CRE capitalization rates using an error correction framework and find that the long run estimates are statistically significant in the ...