Are Asset Demand Functions Determined by CAPM?

The Capital Asset Pricing Model (CAPH) says that the responsiveness of asset-demands to expected returns depends (inversely) on the variance-covariance matrix of returns, rather than being an arbitrary set of parameters.Previous tests of CAPM have usually computed covariances of returns around sample means, and then checked whether the riskier assets are those with the higher mean returns. We offer a new technique for testing CAPM. The technique requires the use of time series data on actual asset-holdings, and non-linear maximum likelihood estimation. We claim superiority to earlier tests on three grounds. (1) We allow expected returns to vary freely overtime.(2) The alternative hypothesis is well-specified: asset-demands are linear functions of expected returns that do not depend on the variance-covariance matrix.(3) The test-statistic has a known distribution; it is simply a likelihood ratio test. We try the technique on yearly data, 1954-1980, for household holdings of a portfolio of six assets: short-term bills and deposits, tangible assets, federal debt, state and local debt, corporate debt, and equities. Our test rejects the CAPM hypothesis.

Near-Rational Wage and Price Setting and the Long-Run Phillips Curve

macroeconomics, Near-Rational Wage, Price Setting, Long-Run Phillips Curve

Inflation and Unemployment in the U.S. and Canada: A Common Framework

This paper summarizes the results of our efforts to broaden the theory of the Phillips curve and to explain the joint evolution of inflation and unemployment in the United States and Canada since 1930.Phillips curve, unemployment, inflation

Unfinished Business in the Macroeconomics of Low Inflation: A Tribute to George and Bill by Bill and George

macroeconomics, low inflation, George Perry, William Brainard, BPEA, Brookings Papers on Economic Activity, Brookings Panel on Economic Activity

Field-dependent dynamics of the Anderson impurity model

Single-particle dynamics of the Anderson impurity model in the presence of a magnetic field $H$ are considered, using a recently developed local moment approach that encompasses all energy scales, field and interaction strengths. For strong coupling in particular, the Kondo scaling regime is recovered. Here the frequency ($\omega/\omega_{\rm K}$) and field ($H/\omega_{\rm K}$) dependence of the resultant universal scaling spectrum is obtained in large part analytically, and the field-induced destruction of the Kondo resonance investigated. The scaling spectrum is found to exhibit the slow logarithmic tails recently shown to dominate the zero-field scaling spectrum. At the opposite extreme of the Fermi level, it gives asymptotically exact agreement with results for statics known from the Bethe ansatz. Good agreement is also found with the frequency and field-dependence of recent numerical renormalization group calculations. Differential conductance experiments on quantum dots in the presence of a magnetic field are likewise considered; and appear to be well accounted for by the theory. Some new exact results for the problem are also established

Single-particle dynamics of the Anderson model: a two-self-energy description within the numerical renormalization group approach

Single-particle dynamics of the Anderson impurity model are studied using both the numerical renormalization group (NRG) method and the local moment approach (LMA). It is shown that a 'two-self-energy' description of dynamics inherent to the LMA, as well as a conventional 'single-self-energy' description, arise within NRG; each yielding correctly the same local single-particle spectrum. Explicit NRG results are obtained for the broken symmetry spectral constituents arising in a two-self-energy description, and the total spectrum. These are also compared to analytical results obtained from the LMA as implemented in practice. Very good agreement between the two is found, essentially on all relevant energy scales from the high-energy Hubbard satellites to the low-energy Kondo resonance.Comment: 12 pages, 6 figure

Dynamics of capacitively coupled double quantum dots

We consider a double dot system of equivalent, capacitively coupled semiconducting quantum dots, each coupled to its own lead, in a regime where there are two electrons on the double dot. Employing the numerical renormalization group, we focus here on single-particle dynamics and the zero-bias conductance, considering in particular the rich range of behaviour arising as the interdot coupling is progressively increased through the strong coupling (SC) phase, from the spin-Kondo regime, across the SU(4) point to the charge-Kondo regime; and then towards and through the quantum phase transition to a charge-ordered (CO) phase. We first consider the two-self-energy description required to describe the broken symmetry CO phase, and implications thereof for the non-Fermi liquid nature of this phase. Numerical results for single-particle dynamics on all frequency scales are then considered, with particular emphasis on universality and scaling of low-energy dynamics throughout the SC phase. The role of symmetry breaking perturbations is also briefly discussed.Comment: 14 pages, 6 figure

Finite temperature dynamics of the Anderson model

The recently introduced local moment approach (LMA) is extended to encompass single-particle dynamics and transport properties of the Anderson impurity model at finite-temperature, T. While applicable to arbitrary interaction strengths, primary emphasis is given to the strongly correlated Kondo regime (characterized by the T=0 Kondo scale $\omega_{\rm K}$). In particular the resultant universal scaling behaviour of the single-particle spectrum D(\omega; T) \equiv F(\frac{\w}{\omega_{\rm K}}; \frac{T}{\omega_{\rm K}}) within the LMA is obtained in closed form; leading to an analytical description of the thermal destruction of the Kondo resonance on all energy scales. Transport properties follow directly from a knowledge of $D(\omega; T)$. The $T / \omega_{\rm K}$-dependence of the resulting resistivity $\rho(T)$, which is found to agree rather well with numerical renormalization group calculations, is shown to be asymptotically exact at high temperatures; to concur well with the Hamann approximation for the s-d model down to $T/\omega_{\rm K} \sim 1$, and to cross over smoothly to the Fermi liquid form $\rho (T) - \rho (0) \propto -(T/\omega_{\rm K})^2$ in the low-temperature limit. The underlying approach, while naturally approximate, is moreover applicable to a broad range of quantum impurity and related models

Spectral scaling and quantum critical behaviour in the pseudogap Anderson model

The pseudogap Anderson impurity model provides a classic example of an essentially local quantum phase transition. Here we study its single-particle dynamics in the vicinity of the symmetric quantum critical point (QCP) separating generalized Fermi liquid and local moment phases, via the local moment approach. Both phases are shown to be characterized by a low-energy scale that vanishes at the QCP; and the universal scaling spectra, on all energy scales, are obtained analytically. The spectrum precisely at the QCP is also obtained; its form showing clearly the non-Fermi liquid, interacting nature of the fixed point.Comment: 7 pages, 2 figure