In this article two different specifications of a macroeconomic model are analysed. The first model is the Keynesian IS (Investments-savings) curve. The second is derived from the New Classical Ricardian equivalence. Since the two specifications are observationally equivalent, including the same...

Almost all of the published estimates of the equity premium and of other rates, are point estimates. The original point of this article is to compute 95% confidence intervals for these parameters conditional on a theoretical dividend model. The monthly samples are considered to have a break...

This study re-evaluates the empirical evidence on excess volatility as pioneered by Shiller (Market Volatility, MIT Press, Cambridge, MA). The results show that a simple, non-dynamic, model of the price of the market stock as a function of the dividend on the market is supported. Moreover the...

The purpose of this letter is to estimate the US social discount rate, the appropriate discount rate for public capital budgets. There are two methods. One assumes that public investment displaces private consumption, and the discount rate is labelled the social rate of time preference (SRTP)....

There is recent and strong evidence that nominal stock returns are independent of inflation. In what amounts to the same thing, when real stock returns are regressed on inflation the resulting estimated coefficient on inflation is negative and unitary. These two propositions are mathematically...

The purpose of this paper is to study a Monte Carlo simulation of the discounted payback, and its application to investment appraisal. The underlying project in the case study has a useful life of 10 years with an initial outlay of $2,000, and with stochastic, independent, and normally...

The purpose of this paper is to study the relation of US stocks, gold, and oil with the US dollar foreign exchange rate. First it is demonstrated that the law of one price holds for US stocks, gold, and oil. This law specifies that a 1% appreciation of the US dollar leads to a 1% fall in the...

The purpose of this paper is to document the relation, in post-war Lebanon from 1991 till 2013, between the central bank¡¯s foreign exchange reserves and the monetary base, and the relation between these two variables and the broad money supply in domestic currency (M2). The setting is typical...

The purpose of this paper is to study the relation between US stock prices, as exemplified by the S&P 500 stock index, and the change in eleven foreign exchange rates against the US dollar. The null hypothesis of no-cointegration fails to be rejected for all dual specifications....

Stock returns, whether nominal or real, are commonly found to depend negatively on actual inflation, expected inflation and unexpected inflation. This runs contrary to the Fisher hypothesis generalised to apply to stocks, whereby stocks should be a hedge against inflation. However, another...