Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1995.TB01448.X
G. Young
This paper examines the relationship between interest rates and company failure. It argues that the response of insolvencies to changes in interest rates depends on the composition of company debt and whether the change in interest rates is expected or unexpected, real or nominal. It shows that when company debt is at variable interest rates, companies are especially vulnerable to unanticipated changes in real interest rates. Evidence is presented which shows that such changes are a major factor in explaining the aggregate company liquidation rate in England and Wales. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"Company Liquidations, Interest Rates and Debt","authors":"G. Young","doi":"10.1111/J.1467-9957.1995.TB01448.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1995.TB01448.X","url":null,"abstract":"This paper examines the relationship between interest rates and company failure. It argues that the response of insolvencies to changes in interest rates depends on the composition of company debt and whether the change in interest rates is expected or unexpected, real or nominal. It shows that when company debt is at variable interest rates, companies are especially vulnerable to unanticipated changes in real interest rates. Evidence is presented which shows that such changes are a major factor in explaining the aggregate company liquidation rate in England and Wales. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"26 1","pages":"57-69"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"84674896","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1992.TB01459.X
E. Davis
The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such a relationship may be distorted by variations in market segmentation or liquidity. The econometric results show a deterioration in U.K. market performance over time, which may be related to changes in liquidity and market segmentation. These imply that spreads may not be a useful monetary indicator and that risk may be inaccurately priced in the U.K. domestic bond markets. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"Credit Quality Spreads, Bond Market Efficiency and Financial Fragility","authors":"E. Davis","doi":"10.1111/J.1467-9957.1992.TB01459.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1992.TB01459.X","url":null,"abstract":"The current usefulness in U.K. monetary policy formulation of corporate-government bond yield differentials is assessed. A large U.S. literature stresses a direct link with expected default risk and, hence, the economic cycle but also notes that such a relationship may be distorted by variations in market segmentation or liquidity. The econometric results show a deterioration in U.K. market performance over time, which may be related to changes in liquidity and market segmentation. These imply that spreads may not be a useful monetary indicator and that risk may be inaccurately priced in the U.K. domestic bond markets. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"144 1","pages":"21-46"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"88467421","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1995.TB01451.X
G. Bulkley, N. Taylor
The authors estimate a price-conditional vector autoregression for individual company dividends and this is used to forecast future dividends. Stocks are then ranked by the ratio of their current price relative to future dividend forecasts. This ranking is shown to forecast returns, using cross-section return regressions, even after controlling for conventional measures of risk. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"Econometric Models of Company Dividends Can Be Used to Identify Underpriced Shares","authors":"G. Bulkley, N. Taylor","doi":"10.1111/J.1467-9957.1995.TB01451.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1995.TB01451.X","url":null,"abstract":"The authors estimate a price-conditional vector autoregression for individual company dividends and this is used to forecast future dividends. Stocks are then ranked by the ratio of their current price relative to future dividend forecasts. This ranking is shown to forecast returns, using cross-section return regressions, even after controlling for conventional measures of risk. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"95 1","pages":"103-111"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78178918","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1992.TB01458.X
C. Allen, D. Currie, T. G. Srinivasan, D. Vines
This paper describes a new empirical model of Latin America built to study North-South macroeconomic interactions. Special attention is paid to the supply-side determination of the natural rate of output and to asset accumulation. The model's properties are presented both empirically and by means of analytical representation. The model is used to examine the effects of global shocks on Latin America as simulated by the LBS/NIESR Global Econometric Model (GEM). In particular, the authors assess the relative impact of OECD monetary contraction and lack of fiscal policy coordination on the continent in the 1980s. Coauthors are David Currie, T. G. Srinivasan and David Vines. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester
本文描述了为研究南北宏观经济相互作用而建立的一个新的拉丁美洲实证模型。特别注意供给方面决定自然产出率和资产积累。该模型的性质是由经验和分析表示的方式提出的。该模型用于检验LBS/NIESR全球计量经济模型(GEM)模拟的全球冲击对拉丁美洲的影响。作者特别评估了经合组织货币紧缩和缺乏财政政策协调在1980年代对非洲大陆的相对影响。合著者是David Currie, T. G. Srinivasan和David Vines。版权归布莱克威尔出版有限公司和曼彻斯特维多利亚大学所有
{"title":"POLICY INTERACTIONS BETWEEN THE OECD COUNTRIES AND LATIN AMERICA IN THE 1980s","authors":"C. Allen, D. Currie, T. G. Srinivasan, D. Vines","doi":"10.1111/J.1467-9957.1992.TB01458.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1992.TB01458.X","url":null,"abstract":"This paper describes a new empirical model of Latin America built to study North-South macroeconomic interactions. Special attention is paid to the supply-side determination of the natural rate of output and to asset accumulation. The model's properties are presented both empirically and by means of analytical representation. The model is used to examine the effects of global shocks on Latin America as simulated by the LBS/NIESR Global Econometric Model (GEM). In particular, the authors assess the relative impact of OECD monetary contraction and lack of fiscal policy coordination on the continent in the 1980s. Coauthors are David Currie, T. G. Srinivasan and David Vines. Copyright 1992 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"32 1","pages":"1-20"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76003576","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1995.TB01450.X
Angela J. Black, P. Fraser
This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"U.K. STOCK RETURNS: PREDICTABILITY AND BUSINESS CONDITIONS","authors":"Angela J. Black, P. Fraser","doi":"10.1111/J.1467-9957.1995.TB01450.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1995.TB01450.X","url":null,"abstract":"This paper examines the hypothesis that predictable variation in excess returns can be explained by future business conditions. Using GARCH-M methodology and data on U.K. share returns over the period 1965-92, the authors find that excess returns are able to capture expectations regarding the future state of the economy. Futher, 'news' on future business conditions in the economy would appear to be related to the observed persistence in the conditional variance of excess returns. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"1 1","pages":"85-102"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"76340635","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1995.TB01449.X
J. Berthelemy, Aristomène Varoudakis
The purpose of this paper is to assess the existence of threshold effects in economic growth, linked to the development of the banking sector. We, first, discuss the possibility of multiple steady state equilibria doe to reciprocal externalities between the banking sector and the real sector. To check the existence of multiple steady states, associated with both financial development and educational development, we perform stability tests on a 'Barro-type' conditional [beta]-convergence equation. Optimal splits of our ninety-one-country sample are then estimated through a maximum likelihood method. We thus define 'convergence clubs', characterized by educational and banking sector development indicators, which exhibit specific behavior as regards the factors determining long-run growth. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"THRESHOLDS IN FINANCIAL DEVELOPMENT AND ECONOMIC GROWTH","authors":"J. Berthelemy, Aristomène Varoudakis","doi":"10.1111/J.1467-9957.1995.TB01449.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1995.TB01449.X","url":null,"abstract":"The purpose of this paper is to assess the existence of threshold effects in economic growth, linked to the development of the banking sector. We, first, discuss the possibility of multiple steady state equilibria doe to reciprocal externalities between the banking sector and the real sector. To check the existence of multiple steady states, associated with both financial development and educational development, we perform stability tests on a 'Barro-type' conditional [beta]-convergence equation. Optimal splits of our ninety-one-country sample are then estimated through a maximum likelihood method. We thus define 'convergence clubs', characterized by educational and banking sector development indicators, which exhibit specific behavior as regards the factors determining long-run growth. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"51 3","pages":"70-84"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"72608833","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2010-09-21DOI: 10.1111/J.1467-9957.1995.TB01446.X
Stephen Wright
M. C. Jensen (1978) describes a market as efficient if it is impossible to make economic profits by trading on the basis of available information. On this criterion, the bond markets of the United States, the United Kingdom, and Germany are all inefficient. Trading rules that switch between bonds and cash on the basis of recursive econometric forecasts of bond price changes are shown to earn rates of return higher than bonds, and comparable to the return on equities, with lower volatility of returns than either. Underlying this inefficiency is an apparent tendency to understate the stabilizing impact of monetary policy. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester
{"title":"How To Make Money in the Bond Market: International Evidence of Inefficiency and What It Suggests about the Way Markets View Monetary Policy","authors":"Stephen Wright","doi":"10.1111/J.1467-9957.1995.TB01446.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1995.TB01446.X","url":null,"abstract":"M. C. Jensen (1978) describes a market as efficient if it is impossible to make economic profits by trading on the basis of available information. On this criterion, the bond markets of the United States, the United Kingdom, and Germany are all inefficient. Trading rules that switch between bonds and cash on the basis of recursive econometric forecasts of bond price changes are shown to earn rates of return higher than bonds, and comparable to the return on equities, with lower volatility of returns than either. Underlying this inefficiency is an apparent tendency to understate the stabilizing impact of monetary policy. Copyright 1995 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"24 1","pages":"22-39"},"PeriodicalIF":0.0,"publicationDate":"2010-09-21","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"78042712","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2008-07-18DOI: 10.1111/J.1467-9957.1934.TB01141.X
A. Redford
{"title":"RELIGION AND CAPITALISM","authors":"A. Redford","doi":"10.1111/J.1467-9957.1934.TB01141.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.1934.TB01141.X","url":null,"abstract":"","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"20 1","pages":"130-134"},"PeriodicalIF":0.0,"publicationDate":"2008-07-18","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"83498122","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
Pub Date : 2006-07-01DOI: 10.1111/J.1467-9957.2006.00501.X
P. Arestis, G. Chortareas
{"title":"SPECIAL ISSUE ON EFFICIENCY ANALYSIS IN FINANCE AND MACROECONOMICS: EDITORS’ INTRODUCTION","authors":"P. Arestis, G. Chortareas","doi":"10.1111/J.1467-9957.2006.00501.X","DOIUrl":"https://doi.org/10.1111/J.1467-9957.2006.00501.X","url":null,"abstract":"","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"10 1","pages":"415-416"},"PeriodicalIF":0.0,"publicationDate":"2006-07-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"75249975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
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