The efficient market hypothesis and identification in structural VARs

Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that, if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. The authors argue that this analysis will likely apply to VARs that include variables that are consistent with weaker forms of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.Macroeconomics ; Econometric models

The dynamic relationship between the federal funds rate and the Treasury bill rate: an empirical investigation

This article examines the dynamic relationship between two key U.S. money market interest rates - the federal funds rate and the 3-month Treasury bill rate. Using daily data over the period 1974 to 1999, we find a long-run relationship between these two rates that is remarkably stable across monetary policy regimes of interest rate and monetary aggregate targeting. Employing a non-linear asymmetric vector equilibrium correction model, which is novel in this context, we find that most of the adjustment towards the long-run equilibrium occurs through the federal funds rates. In turn, there is strong evidence for the existence of significant asymmetries and nonlinearities in interest rate dynamics that have implications for the conventional view of interest rate behavior.Interest rates ; Arbitrage ; Treasury bills

The efficient market hypothesis and identification in structural VARs

Structural vector autoregression (SVAR) models are commonly used to investigate the effect of structural shocks on economic variables. The identifying restrictions imposed in many of these exercises have been criticized in the literature. This paper extends this literature by showing that if the SVAR includes one or more variables that are efficient in the strong form of the efficient market hypothesis, the identifying restrictions frequently imposed in SVARs cannot be satisfied. We argue that our analysis will likely apply to VARs that include variables that are consistent with the weaker form of the efficient market hypothesis, especially when the data are measured at the monthly or quarterly frequencies, as is frequently the case.Macroeconomics ; Econometric models

On Scale Invariance and Anomalies in Quantum Mechanics

We re-consider the quantum mechanics of scale invariant potentials in two dimensions. The breaking of scale invariance by quantum effects is analyzed by the explicit evaluation of the phase shift and the self-adjoint extension method. We argue that the breaking of scale invariance reported in the literature for the $\delta$(r) potential, is an example of explicit and not an anomaly or quantum mechanical symmetry breaking.Comment: 15 pp in latex, no figure

Pion Scattering Revisited

Chiral Ward identities lead to consistent accounting for the sigma's width in the linear sigma model's Feynman rules. Reanalysis of pion scattering data at threshold imply a mass for the sigma of 600+ 200 - 100 MeV.Comment: latex; VIII EMPC (Oaxaca, Nov 98) Proceeding

Masses and widths of the rho(770)

Isospin violation in the $\rho(770)$ mass and width is considered within the $S$ matrix approach using combined fits to the $e^+e^- \to\pi^+\pi^-$ and $\tau^- \to \nu_{\tau}\pi^-\pi^0$ data performed by the ALEPH collaboration. We show that the pole position following from the parameters obtained from the ALEPH fits are not sensitive to the details of the parametrization. In this context, we have found that the pole mass difference and the pole width difference between the charged and neutral $\rho$ are consistent with zero. We show that a one loop calculation including vector, axial vector and pseudo-scalar mesons can satisfactorily describe the observed isospin breaking. We also give an estimate for the mass difference between the neutral and charged states of the $a_1(1260)$.Comment: 8 pages, 1 figur