On Interest Rates and Asset Prices in Europe : The Selected Essays of Martin M.G. Fase

by Fase, Martin M. G.

• ISBN13: 9781840640205
• ISBN10: 1840640200
• Format: Hardcover
• Copyright: 1999-03-01
• Publisher: Edward Elgar Pub

Author Biography

Martin M.G. Fase is Deputy Executive Director of De Nederlandsche Bank, Amsterdam and Professor of Monetary Economics at the University of Amsterdam, The Netherlands

Table of Contents

List of Figures	vii
List of Tables	ix
Acknowledgements	xiii
Introduction	1	(6)
PART ONE: ON INTEREST RATES
A Principal Components Analysis of Market Interest Rates in The Netherlands, 1962--1970	7	(26)
The Interdependence of Short-term Interest Rates in the Major Financial Centres of the World: Some Evidence for 1961--1972	33	(24)
On Interest Rates in Belgium and The Netherlands: A Comparative Analysis of Interest Rate Developments and Financial Innovations, 1980--1984	57	(26)
International Convergence of Capital Market Interest Rates	83	(14)
Bond Yields and Expected Inflation: A History of Dutch Experience	97	(14)
Anticipated Inflation and Interest Rates in an Open Economy: A Study of the Gibson Paradox for The Netherlands	111	(22)
The Fisher Hypothesis and Exchange Rates in EMU	133	(14)
The Demand for Mortgage Credit and the Mortgage Rate in The Netherlands	147	(24)
Seventy Years of Interest Rates: Theory and Empirical Evidence	171	(24)
PART TWO: ON ASSET PRICES
Index-linked Bonds and Inflation Risk in EMU	195	(10)
Price Determination on the Equity Market: A Macroeconomic View	205	(12)
The Linkage of Stock Exchange Markets between Countries	217	(6)
The Interaction between Trading Volume of Stocks and Options: Some Statistical Evidence	223	(16)
The Equity Premium Puzzle	239	(10)
The Risk Premium on Equity in Core EMU	249	(10)
Purchase of Art: Consumption and Investment	259	(10)
Bibliography	269	(20)
Name Index	289	(4)
Subject Index	293