A Structural Model of the U.S. Government Securities Market Routledge Library Editions: Econometrics Series
Auteur : Roley V. Vance
Originally published in 1979. This study focuses primarily on the development of a structural model for the U. S. Government securities market, ie. the specification and estimation of the demands for disaggregated maturity classes of U.S. Government securities by the individual investor groups participating in the market. A particularly important issue addressed involves the extent of the substitution relationship among different maturity classes of U.S. Government securities.
Preface 1. Introduction 2. Microeconomic Foundations of Asset Demand Equations 3. Properties of Asset Demand Equations Derived from Mean-Variance Analysis: Some General Results 4. The Portfolio Selection Problem of Depository Financial Intermediaries, and the Demand for U.S. Government Securities 5. Empirical Results for the Structural Model of the U.S. Government Securities Market 6. Summary and Conclusions
V. Vance Roley is Dean of the University of Hawaii at Mānoa's Shidler College of Business.
Date de parution : 06-2019
17.4x24.6 cm
Disponible chez l'éditeur (délai d'approvisionnement : 14 jours).
Prix indicatif 40,18 €
Ajouter au panierDate de parution : 03-2018
17.4x24.6 cm
Disponible chez l'éditeur (délai d'approvisionnement : 14 jours).
Prix indicatif 142,05 €
Ajouter au panierThème d’A Structural Model of the U.S. Government Securities Market :
Mots-clés :
Negative Exponential Utility Function; Asset Demands; structural model; Portfolio Selection Problem; market value; Holding Period Yields; U.S; Government securities; Asset Demand Equations; Nonfinancial Corporate Businesses; Constant Relative Risk Aversion; Portfolio Selection Model; Government Securities Market; Endogenous Interest Rates; Level Initial Wealth; Riskless Asset; Symmetric Coefficient Matrix; Portfolio Rate; Expected Utility Maximization; Relative Risk Aversion; Bliss Point; Initial Wealth; Portfolio Selection Theory; Endogenous Assets; Absolute Risk Aversion; Sharpe Lintner Capital Asset Pricing Model; Assets Case; Comparative Statics Properties; Multiperiod Model