27 research outputs found
The October 1979 Change in the U.S. Monetary Regime: Its Impact on the Forecastability of Canadian Interest Rates
Subsequent to the October 1979 shift in monetary policy in the United States, interest rates in North America not only reached unprecedented levels but also exhibited unprecedented volatility. Using Canadian data, the authors show that anticipated quarterly changes in longâterm rates associated with the rationalâexpectations model have remained small during this postâshift period. The authors examine three sets of recorded forecasts of longâterm interest rates in Canada and note their failure to improve upon the noâchange prediction. The âperverseâ relationship between the slope of the yield curve and the subsequent movement in longâterm rates exists in the Canadian data but is of only modest value in a forecasting context. The excess returns on longâterm bonds implicit in the recorded forecasts of the level of interest rates vary sharply, yet there is little evidence that forecasters have identified a predictable component of timeâvarying term premia. 1988 The American Finance Associatio
The Market for Picasso Prints: A Hybrid Model Approach
Two basic approaches have been used by the literature focusing on the return to holding artistic works: the hedonic price model and the repeat-sales model. This paper provides a procedure for jointly estimating the two models in a way that take advantages of the unique information contained in each. A semiannual price index for Picasso prints is estimated by using a model derived from the basic framework of the hybrid models. The empirical results suggest that the hybrid model provides the most precisely estimated price index by reducing the level of price volatility. Copyright Springer Science + Business Media, Inc. 2005prints, Picasso, hedonic prices, repeat sales, rate of return, hybrid models,
Price Indices for Artists â A Proposal
This paper proposes a price index for artists adjusted for the quality of the paintings, based on the ratio between the average market price and the average pre-sale estimate for paintings. We apply this methodology to a group of selected artists and schools presented in auctions worldwide in the period 1990â2001. A comparison with quality unadjusted and hedonic indices is also conducted. Copyright Kluwer Academic Publishers 2004price indices, auctions, paintings, hedonic price,