WorldCat Identities

Roley, V. Vance

Overview
Works: 41 works in 78 publications in 1 language and 282 library holdings
Classifications: HB1.A2, 332.460973
Publication Timeline
Key
Publications about  V. Vance Roley Publications about V. Vance Roley
Publications by  V. Vance Roley Publications by V. Vance Roley
Most widely held works by V. Vance Roley
Stock prices, news, and business conditions by Grant MacQueen ( )
4 editions published in 1990 in English and held by 23 WorldCat member libraries worldwide
Previous research finds that fundamental macroeconomic news has little effect on stock prices. This study shows that after allowing for different stages of the business cycle, a stronger relationship between stock prices and news is evident. In particular, the empirical results suggest that the effect of news about real economic activity depends on the varying responses of expected cash flows relative to equity discount rates. When the economy is strong, for example, the stock market responds negatively to good news about real economic activity, reflecting the larger effect on discount rates relative to expected cash flows
Temporal variation in the interest-rate response to money announcements by V. Vance Roley ( )
3 editions published in 1990 in English and held by 19 WorldCat member libraries worldwide
A number of studies find significant temporal variation in the interest-rate response to money announcement surprises. An unresolved question, however, is whether the response changes immediately as different policy regimes are adopted, or whether the change is gradual reflecting the establishment of Federal Reserve credibility. This paper conducts tests that allow for both discrete shifts in the interest-rate response to money announcements and a gradual evolution in this response. The evidence is consistent with the hypothesis that temporal variation in the interest-rate response is limited to discrete shifts in October 1979, October 1982, arid February 1984
A Note on the Derivation of Linear Homogeneous Asset Demand Functions by Benjamin M Friedman ( )
3 editions published in 1979 in English and held by 19 WorldCat member libraries worldwide
Among the numerous familiar sets of specific assumptions sufficient to derive mean-variance portfolio behavior from more general expected utility maximization in continuous time, the assumptions of constant relative risk aversion and joint normally distributed asset return assessments are also jointly sufficient to derive asset demand functions with the two desirable (and frequently simply assumed) properties of wealth homogeneity and linearity in expected returns. In addition, in discrete time constant relative risk aversion and joint normally distributed asset return assessments are sufficient to yield linear homogeneous asset demands as approximations if the time unit is small
Identifying Identical Distributed Lag Structures by the Use of Prior SumConstraints by Benjamin M Friedman ( )
2 editions published in 1977 in English and held by 18 WorldCat member libraries worldwide
This paper derives an estimation procedure which, when the same distributed lag appears twice in an equation to be estimated by least-squares regression, identifies all of the relevant coefficients and lag weights and also constrains the two sets of individual lag weights to be identical. The procedure for solving this identification-constraint problem involves prior imposition of a restriction on the lag weight sum -- i.e., it is necessary to impose the sum restriction before estimating the equation. A further useful feature of the derived procedure is that it facilitates conveniently imposing the sum restriction on all of the weights in a distributed lag even if the leading weight is independent of a polynomial restriction imposed on the others
Asset Substitutability and the Impact of Federal Deficits by V. Vance Roley ( )
4 editions published in 1983 in English and held by 17 WorldCat member libraries worldwide
In this paper, the role of asset substitutability in determining the impact of debt-financed federal deficits is examined. The issues are first discussed in the context of a simple analytical model in which financial assets are disaggregated into money, federal debt, and corporate bonds. In this model, it is shown that depending on the degree of substitutability among financial assets, a range of possible outcomes associated with a change in the federal deficit is possible. Next, the issue of asset substitutability is examine dempirically in a disaggregated structural model of the Treasury security, corporate bond, and equity markets. Using this model, the implications of larger debt-financed federal deficits are then examined in a series of simulation experiments
Unanticipated Money and Interest Rates by V. Vance Roley ( )
2 editions published in 1984 in English and held by 17 WorldCat member libraries worldwide
Evidence on the relationship between unanticipated money and interestrates has been provided by two types of studies. First, several researchers have investigated the relationship using quarterly data. Second, a number of researchers have examined the effect of money announcement surprises on interest rates. In both instances, the correlation between money surprises and interest rates has usually been found to be non-negative. This paper first provides an interpretation of the correlation between unanticipated money and interest rates in terms of Federal Reserve policy objectives and operating procedures. Then, the correlation of unanticipated money and both short- and long-term interest rates is examined over weekly intervals, combining several aspects of the previous quarterly and announcement studies. In addition, the distinction between unpredicted and unperceived money also is considered
Structural Models of Interest Rate Determination and Portfolio Behavior in the Corporate and Government Bond Markets ( )
1 edition published in 1981 in English and held by 16 WorldCat member libraries worldwide
This paper summarizes some recent work in which we have modeled long-term interest rate determination in an explicit demand-supply context, using multi-equation structural models and directly contrasts such models with unrestricted reduced-form models. Wholly apart from questions of disaggregation and institutional detail, the explicitly structural nature of demand-supply models necessitates additional theoretical constructs beyond those required by unrestricted reduced-form models. Some of these conceptual inputs are already available from established portfolio theory, and others represent objects of current or prospective research. Experience to date with structural models of long-term interest rate determination suggests, however, that the exploitation of the richer theoretical framework yields not only insights about portfolio behavior but, very likely, improved interest rate models as well
A Disaggregated Structural Model of the Treasury Securities, Corporate Bond, and Equity Markets Estimation and Simulation Results by V. Vance Roley ( )
1 edition published in 1980 in English and held by 16 WorldCat member libraries worldwide
The estimation and simulation results of a disaggregated structural model of u\U.S. security markets are presented in this paper. The model consists of estimated demands for corporate bonds, equities, and four distinct maturity classes of Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities equating market demands with exogenous supplies. The empirical results provide support to the model's specification and indicate that the "within-sample forecasts" of the six endogenous security yields closely track historical data
News from the U.S. and Japan : which moves the Yen/dollar exchange rate? by Takatoshi Itō ( )
4 editions published between 1986 and 1987 in English and held by 9 WorldCat member libraries worldwide
Intra-daily movements in the yen/dollar exchange rate were examined in four non-overlapping segments within each business day from January1980 to September 1985. The empirical results yielded several conclusions. First, most depreciation of the yen (appreciation of the dollar) from late 1982 to early 1984 occurred in the New York market. The direction of the yen was mostly neutral in the Tokyo market. Also, the volatility of the exchange rate decreased considerably in the Tokyo market. The volatility in the New York market, on the other hand, did not decrease untilvery recently. Second, market efficiency was examined in terms of the random-walk behavior of short-run movements in the yen/dollar rate. Information on the preceding segments within a day was sometimes significant in predicting the exchange rate movement in a market. Third, there is evidence of the "profit-taking" behavior, or overshooting, in that a large jump (more than 3 absolute yen) in any market tends to be reversed by a fifth of the jump during the same day in the next market. Finally, the relative effects of news from the U.S. and Japan were examined explicitly both with respect to possible major events behind large jumps andthe response of the yen/dollar rate to particular economic announcements in both countries. Over the entire sample period, news concerning the U.S. money stock had the only significant effects
Investors' portfolio behavior under alternative models of long- term interest rate expectations unitary, rational, or autoregressive by Benjamin M Friedman ( )
3 editions published between 1977 and 1980 in English and held by 9 WorldCat member libraries worldwide
This paper develops behavioral relationships explaining investors' demands for long-term bonds, using three alternative hypotheses about investors' expectations of future bond prices (yields). The results, based on U.S. 'data for six major categories of bond market investors, consistently support an autoregressive expectations model. The results also have implications for further aspects of investors' portfolio behavior, including expectations formation, response to inflation, and speed of adjustment
Intraday yen/dollar exchange rate movements : news or noise? by Takatoshi Itō ( )
5 editions published between 1988 and 1991 in English and Undetermined and held by 9 WorldCat member libraries worldwide
Abstract: Intraday movements in the yen/dollar rate are examined over the 1980-86 period using opening and closing quotes in the New York and Tokyo markets. The results indicate that random-walk behavior is violated about half of the time in various subsamples. However, the economic significance of departures from the random-walk model diminishes over time. Large jumps in the exchange rate also are examined, and some evidence on subsequent mean reversion is presented. Finally, the response of Japanese and U.S. stock prices suggests that intraday yen/dollar rate movements do contain at least some relevant information
Aspects of investor behavior under risk by Benjamin M Friedman ( )
2 editions published between 1985 and 1987 in English and held by 8 WorldCat member libraries worldwide
The three sections of this paper support three related conclusions. First, asset demands with the familiar properties of wealth homogeneity and linearity in expected returns follow as close approximations from expected utility maximizing behavior under the assumptions of constant relative risk aversion and joint normally distributed asset returns. Second, although such asset demands exhibit a symmetric coefficient matrix with respect to the relevant vector of expected asset returns, symmetry is not a general property, and the available empirical evidence warrants rejecting it for both institutional and individual investors in the United States. Finally, in a manner analogous to the finite maximum exhibited by quadratic utility, a broad class of mean-variance utility functions also exhibits a form of wealth satiation which necessarily restricts it range of applicability
Monetary policy regimes, expected inflation, and the response of interest rates to money announcements by V. Vance Roley ( )
2 editions published between 1983 and 1986 in English and held by 8 WorldCat member libraries worldwide
This paper examines the response of the term structure of interest rates to weekly money announcements. Estimated responses for both the pre- and post-October 1979 periods are first presented. Then, two competing hypotheses involving the policy anticipations and expected inflation effects are formally specified and compared to the estimated responses. Both hypotheses are found to be consistent with the responses, but they have sharply different implications about the Federal Reserve's short-run monetary policy. The expected inflation hypothesis implies that weekly money surprises should have persistent effects on the level of the money stock, reflecting shifts in the Federal Reserve's long-run target. In contrast, the policy anticipations hypothesis implies that the effectof money surprises should diminish over time, reflecting the Federal Reserve's desire to offset deviations from target. Additional empirical results reported in the paper support this latter description of the money stock process
The response of short-term interest rates to weekly money announcements by V. Vance Roley ( )
2 editions published between 1982 and 1983 in English and held by 7 WorldCat member libraries worldwide
The response of short-term interest rates to weekly money announcements since the Federal Reserve's change in operating procedures on October 6, 1979, is examined in this paper. The results indicate that the response increased significantly since October 1979, and that it varies nonlinearly according to the relation of money growth to the Federal Reserve!s long-run targets. The results also suggest that the increase in the response and the rise in the volatility of unanticipated money have contributed about equally to the large rise in interest rate volatility during this period
Federal Reserve behavior since 1980 : a financial markets perspective by William C Melton ( )
3 editions published between 1988 and 1991 in English and held by 7 WorldCat member libraries worldwide
The financial market's understanding of Federal Reserve behavior is used to examine recent changes in monetary policy. Changes in the level of interest rats in response to specific types of economic information are primarily considered. Differences in the volatility of interest rates across period provide additional evidence on changes in monetary policy regimes. The results indicate that monetary policy changed several times since 1980 with respect to either the Federal Reserve's targets, its desire to achieve its targets, or its operating procedures. The different regimes correspond to Federal Reserve statements about changes in policy. In this context, then, the evidence suggests that policy was credible
The reaction of stock prices to unanticipated changes in money by Douglas K Pearce ( )
2 editions published between 1982 and 1984 in English and held by 7 WorldCat member libraries worldwide
This paper investigates the short-run effect of unexpected changes in the weekly money stock on common stock prices. Survey data on money market participants' forecasts of money changes are employed to construct the measure of unanticipated movements in the money stock. The results indicate that an unexpected increase in money depresses stock prices and, consistent with the efficient markets hypothesis, only the unexpected part of the weekly money announcement causes stock price fluctuations. The October 1979 change in Federal Reserve operating procedures appears to have made stock prices somewhat more sensitive to large money surprises
U.S. monetary policy regimes and U.S.-Japan financial relationships by V. Vance Roley ( )
2 editions published between 1986 and 1987 in English and held by 7 WorldCat member libraries worldwide
This paper examines the pervasiveness of the effects of U.S. monetary policy regime shifts and unanticipated changes in money on international financial markets. Four potential regimes from October 1977 to May 1985 are examined in terms of the response of yen-denominated securities in the Tokyo market to U.S. money surprises. The rationality of the responses in domestic and foreign on shore financial markets is further examined by testing whether the responses of dollar-denominated securities, yen-dominated securities, the spot yen/dollar exchange rate, and the forward yen/dollar exchange rate violate covered interest parity. The use of yen-denominated assets and the yen/dollar exchange rate allows further tests of the effects of the liberalization of restrictions on capital mobility in Japan since the late 1970s on market efficiency
The effect of federal debt management policy on corporate bond and equity yields by V. Vance Roley ( )
2 editions published between 1980 and 1983 in English and held by 7 WorldCat member libraries worldwide
In theory, Federal debt management policy potentially plays an important role in determining Treasury and private security yields. However, empirical studies have been unable to detect any significant effects from Federal debt management. In large part the insignificance of relative asset supply effects associated with Federal debt management policy may result from the use of unrestricted reduced- form models of interest rate determination. Using a disaggregated structural model of the markets for corporate bonds, equities, and four distinct maturity classes of Treasury securities. Federal debt management policy is found to significantly affect Treasury and private security yields. Furthermore, the yields on corporate bonds and equities are influenced disproportionately
Rational expectations, the expectations hypothesis, and treasury bill yields an econometric analysis by David S Jones ( )
1 edition published in 1984 in English and held by 6 WorldCat member libraries worldwide
This paper tests the joint hypothesis of rational expectations and the expectations model of the term structure for three- and six-month Treasury bills. Previous studies are extended in three directions. First, common efficient markets-rational expectations tests are compared, and it is shown that four of the five tests considered are asymptotically equivalent, and that the fifth is less restrictive than the other four. Second, the joint hypothesis is tested using weekly data for Treasury bills maturing in exactly 13 and 26 weeks beginning in 1970 and ending in 1979. In contrast, previous studies using comparable data have typically discarded 12/13 of the sample to form a nonoverlapping data set. Finally, a more complete set of possible determinants of time-varying term premiums is tested
Firm characteristics, unanticipated inflation, and stock returns by Douglas K Pearce ( )
2 editions published between 1987 and 1989 in English and held by 6 WorldCat member libraries worldwide
This paper re-examines the effects of nominal contracts on the relationship between unanticipated inflation and individual stock's rate of return. This study differs in three main ways from previous research. First, announced inflation data are used to examine the effects of unanticipated inflation. Second, a different specification is used to obtain more efficient estimates. Third, additional nominal contracts are considered. The empirical results indicate that time-varying firm characteristics related to inflation predominately determine the effect of unanticipated inflation on a stock's rate of return. A firm's debt-equity ratio appears to be particularly important in determining the response
 
moreShow More Titles
fewerShow Fewer Titles
Audience Level
0
Audience Level
1
  Kids General Special  
Audience level: 0.94 (from 0.93 for Stock pric ... to 0.96 for A Disaggre ...)
Languages
English (49)