EXCESS RETURNS AND RISK AT THE LONG END OF THE TREASURY MARKET: AN EGARCH-M APPROACH

In this paper we model weekly excess returns of ten-year Treasury notes and long-term Treasury bonds from 1968 through 1993 using an exponential generalized autoregressive conditional heteroskedasticity in mean (EGARCH-M) approach. The results indicate the presence of conditional heteroskedasticity and a strong tendency for the ex-ante volatility of excess returns to increase more following negative excess return innovations compared with positive innovations of equal magnitude. In addition, increases in ex-ante volatility are associated in some subperiods with rising excess returns on longer-term instruments, although the slope of the yield curve and lagged excess returns generally remain significant predictors of excess returns.     

MonetÄre aspekte des jahresgutachtens 1971/72 des sachverstÄndigenrats

Summary Monetary Aspects of the 1971/72 Report of the German Council of Economic Advisers. — This paper deals mainly with the concept of a “computable credit maximum” (K _s ⁺ ) for the commercial banking system, as presented by the German Council of Economic Advisers. K _s ⁺ is supposed to be based on a theory of credit creation which, however, is not explained. The advisers base interpretations of monetary policy on K _s ⁺ and, strangely enough, use it as an indicator, at the same time, of the direction and the energy of (1) total monetary policy, (2) minimumreserve policy alone and (3) monetary impulses in general. This paper shows first that, contrary to what the advisers suppose, a complete analysis can very well include the influence on K _s ⁺ of the public’s use of cash. Then, the indicative capacity of K _s ⁺ is systematically analysed by means of a simple model and compared with that of other monetary variables. The outcome is that K _s ⁺ is incapable of fulfilling any of the indicative functions attributed to it by the German Council of Economic Advisers.

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Résumé Aspects monétaires du rapport de 1971/72 du Conseil Economique de la République Fédérale Allemande. — Cet article s’occupe surtout de la notion d’un ?maximum calculable de crédit? (K _s ⁺ ) pour le système bancaire commercial, notion qui a été élaborée par le Conseil Economique. On y prétend que K _s ⁺ est basé sur une théorie de création de crédit qui, cependant, n’est pas expliquée. La rapport fonde sur K_s ⁺ ses interprétations de politique monétaire et s’en sert — ce qui est extraordinaire — comme indicateur à la fois de la direction et de la force 1. du total de la politique monétaire, 2. de la seule politique des réserves et 3. des impulsions monétaires en général. Cet article démontre d’abord qu’une analyse complète peut très bien — contrairement à ce que suppose le rapport — tenir compte de l’influence qu’exerce sur K _s ⁺ la manière dont le public se sert d’argent comptant. Ensuite, le caractère indicatif de K _s ^su+ est analysé systématiquement, au moyen d’un modèle simple, et comparé avec celui d’autres variables monétaires. Il en résulte que K _s ⁺ est incapable d’accompli une seule des fonctions indicatives qui ont été attribuées par le Conseil Economique.

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Resumen Aspectos monetarios d’informe 1971/72 del Consejo de Expertos Económicos. — Este artículo trata primordialmente del concepto presentado por el Consejo de Expertes Económicos y llamado ?tope credicio? (K _s ⁺ ) del sistema de la Banca privada. Parese que K _s ⁺ se basa en una teoría de creación de crédites, la cual, sin embargo, no se hace explícita. Los Expertes deducen del K _s ⁺ conclusiones en materia de política monetaria y lo utilizan particularmente como indicador de la direccíon y la potencia de (1) toda política monetaria, (2) política de réservas mínimas, y (3) impulses monetarios. En este artíeulo se muestra que en analisis más completose puede considerar la influencia del comportamiento del publico con respecte a la mamtención de dinero en líquidez sobre el K _s ⁺ , cosa que creían los Expertes. A continuación se analiza sistemáticamente dentro de un modelo sencillo las evalidades indicativas del K _s ⁺ y se las compara con aquéllas derivadas de otras variables monetarias. El resultado es que K _s ⁺ no puede cumplir con ninguna de las funciones que el Consejo de Expertes Económicos le atribuye.

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Riassunto Aspetti monetari del rapporte 1971/72 del Consiglio degli Esperti Economici. — Questo articolo si occupa principalmente della nozione ?massimo credite computabile? (K _s ⁺ ) del sistema delle banche di credito, presentata dal Consiglio degli Esperti. Si suppone che K ⁺ si basi su una teoria di creazione di credito che tuttavia non è spiegata. Gli esperti fondano su K _s ⁺ interpretazioni politico-monetarie e la adoperano in modo notevole, contemporaneamente, come indicatore della direzione dell’effetto e della forza d’urto (1) dell’intera politica monetaria, (2) della politica della riserva minima soltanto e (3) di impulsi monetari in generale. L’articolo mostra dapprima che, in un’analisi più compléta, contrariamente alle supposizioni degli esperti, può essere presa in considerazione l’influenza del denaro contante del pubblico su K _s ⁺ . Successivamente sono analizzate sistematicamente, nel quadro di un modello semplice, le qualità d’indicatore di K _s ⁺ e comparate con quelle di altre variabili monetarie. Il risultato è che K _s ⁺ non può adempiere nessuno dei compiti d’indicatore ad essa destinati dal Consiglio degli Esperti.

     

Optimal taxes on wealth and consumption in the presence of tax evasion

This article incorporates tax evasion into an optimum taxation framework with individuals differing in earning abilities and initial wealth. We find that despite the possibility of its evasion a tax on initial wealth should supplement the optimal nonlinear income tax, given a positive correlation between initial wealth and earning abilities. Further, even if income and initial wealth are taxed optimally, it is still desirable to levy a tax on commodities, though it can be evaded as well. Thus, our result provides a rationale for a comprehensive tax system. Optimal tax rates on commodities differ in general, however for the special case of a uniform evasion technology equal rates are optimal if preferences are homothetic and weakly separable.     

Holm's probability-paper tests in relation to the Kolmogorov—Smirnov one-sample test

Abstract

In [5] S. Holm proposed teststatistics for testing simple hypotheses by means of the probability paper for distribution functions (d.f.) of the form F ₀(x) = Φ[(x - μ₀)/σ₀], where μ₀ is location parameter, σ₀ scale parameter, and Φ is an absolutely continuous distribution function with Φ(0) = 1/2. If μ₀ and (σ₀ are known, the hypothesis H ₀ is:

• H ₀: H(x) = F ₀(x) = Φ[(x?μ₀)/σ₀],

while the three possible alternatives are

• H ₁: H(x) > F ₀(x)

• H ₂: H(x) < F ₀(x)

• H ₃: H(x) ≠ F ₀(x).