The fischer black hypothesis: Some time-series evidence

Southern Economic Journal

Volumn 64, Issue 3, 1998, Pages 765-771

  Caporale, Tony ^a   McKiernan, Barbara ^b  

^a OHIO UNIVERSITY   (United States)

^b NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0032353855     PISSN: 00384038     EISSN: None     Source Type: Journal    
DOI: 10.2307/1060792     Document Type: Article

References (24)

1. Baillie, R.T., and T. Bollerslev. 1989. The message in daily exchange rates: A conditional variance tale. Journal of Business and Economic Statistics 7:297-305.
2. Bernanke, B. 1983. Irreversibility, uncertainty, and cyclical investment. Quarterly Journal of Economics 98:85-106.
3. Berndt, E., B. Hall, R. Hall, and J. Hausman. 1974. Estimation and inference in nonlinear structural models. Annals of Economic and Social Measurement 3:653-65.
4. Black, F. 1987. Business cycles and equilibrium. New York: Basil Blackwell.
5. Bollerslev, T., R. Chou, and K. Kroner. 1992. ARCH modeling in finance: A review of the theory and empirical evidence. Journal of Econometrics 52:3-39.
6. Friedman, M. 1968. The role of monetary policy. American Economic Review 58:1-17.
7. Gordon, R., ed. 1986. The American business cycle: Continuity and change. Chicago: University of Chicago Press.
8. Grier, K., and G. Tullock. 1989. An empirical analysis of cross-national economic growth, 1951-80. Journal of Monetary Economics 24:259-76.
9. Grier, K., and M. Perry. 1993. The effect of money shocks on interest rates in the presence of conditional heteroskedas-ticity. Journal of Finance 48:1445-55.
10. Higgs, R. 1992. War prosperity? A reassessment of the U.S. economy in the 1940s. The Journal of Economic History 52:41-63.
11. Keynes, J. M. 1936. The general theory of employment, interest, and money. London: Macmillan.
12. Kormendi, R., and P. Meguire. 1985. Macroeconomic determinants of growth: Cross-country evidence. Journal of Monetary Economics 16:141-63.
13. Long, J., and C. Plosser. 1983. Real business cycles. Journal of Political Economy 91:1345-70.
14. Mirman, L. 1971. Uncertainty and optimal consumption decisions. Econometrica 39:179-85.
15. Miron, J., and C. Romer. 1990. A new monthly index of industrial production, 1884-1940. Journal of Economic History 50:321-38.
16. Nelson, C., and C. Plosser. 1982. Trends and random walks in macroeconomic time series: Evidence and implications. Journal of Monetary Economics 10:139-62.
17. Pagan, A. 1984. Econometric issues in the analysis of regressions with generated regressors. International Economic Review 25:901-22.
18. Pindyck, R. 1991. Irreversibility, uncertainty, and investment. Journal of Economic Literature 29:1110-48.
19. Plosser, C. 1989. Understanding real business cycles. The Journal of Economic Perspectives 3:51-77.
20. Ramey, G., and V. Ramey. 1991. Technology commitment and the cost of economic fluctuations. NBER Working Paper No. 3755.
21. Romer, C. 1989. The prewar business cycle reconsidered: New estimates of gross national product, 1869-1908. Journal of Political Economy 97:1-37.
22. Solow, R. 1957. Technical change and the aggregate production function. Review of Economics and Statistics 39: 312-20.
23. Woodford, M. 1990. Learning to believe in sunspots. Econometrica 58:277-307.
24. Zarnowitz, V., and G. Moore. 1986. Major changes in cyclical behavior. In The american business cycle: Continuity and change, edited by Robert J. Gordon. Chicago: University of Chicago Press.