Liquidity, interest rates and banking / Jeffrey Morrey and Alexander Guyton, editors.

Includes bibliographical references and index.

Description based on print version record.

LIQUIDITY, INTEREST RATESAND BANKING; CONTENTS; PREFACE; RESEARCH AND REVIEW STUDIES; THE LIQUIDITY EFFECT:A SURVEY OF THE LITERATURE; Abstract; 1. Introduction; 2. Theoretical Papers; 3. Empirical Papers; 3a. Single Equation Studies; 3b. Vector Autoregression Studies; 4. A Short History of Federal Reserve Operating Procedures2; 5. Summary; References; THE ABILITY OF THE TERM SPREAD TO PREDICTOUTPUT GROWTH, RECESSIONS, AND INFLATION:A SURVEY; Abstract; Why Might the Term Spread Predict Economic Activity?; Evidence on the Ability of the Term Spread to Predict OutputGrowth.

Is the Term Spread Useful if Other Explanatory Variables Are Included inthe Model?Stability of the Relationship between the Term Spread and Output Growth; Evidence from Nonlinear Models; Evidence on the Usefulness of the Term Spread for ForecastingRecessions; Is the Term Spread Useful in Predicting Output Gap, Inflation or ForeignYield Curves?; Summary; References; A LATENT VARIABLE APPROACH TO ESTIMATINGTIME-VARYING SCALE EFFICIENCIES IN USCOMMERCIAL BANKING; Abstract; Journal of Economic Literature Classification:; Key Words:; 1. Introduction; 2. Modeling under the Kalman-Filter.

3. Model Development3.1. The Empirical Model; 3.2. Modifying the Translog Cost Function under the Kalman-Filter; 3.3. Estimating Scale Efficiencies; 4. Data; 5. Empirical Results; 6. Summary; Appendix; The Kalman-Filter Methodology; References; LONG-TERM REAL INTEREST RATES:AN EMPIRICAL ANALYSIS; Abstract; Key phrases:; JEL codes:; 1. Introduction; 2. Model; 2.1. Theoretical Considerations of the Model; 2.2. Data; 2.3. Construction and Explanations of Variables; 2.4. Empirical Model; 3. Empirical Results; 3.1. Budget Deficit and Long-term Rates; 3.2. Inflation and the Long-Term Rates.

4. ConclusionsReferences; INTEREST RATE MOVEMENTS IN THE LIFEINSURANCE FAIR VALUATION CONTEXT ; Abstract; Key words and phrases:; JEL classification: G22, G28, G13; 1. Introduction; 2. The Basic Model within a Deterministic Environment; 2.1. Numerical Evidence for the Basic Model; 3. The Cash-Flow Model within a Stochastic Environment; 3.1. Basic Assumptions for the Fair Valuation; 3.2. The Reserve Fair Value Sensitivity: Numerical Applications; References; FUTURES MARKET LIQUIDITY UNDER FLOORAND ELECTRONIC TRADING; Abstract; Introduction; Literature Review.

Data, Research Methods and HypothesesMarket Structure and Data; Methods and Hypotheses; Empirical Results; Price Clustering and the Attraction Hypothesis; 'Even vs. Odd Digit' Clustering; Volume-Weighted Price Clustering, Mean Trade Sizes and the NegotiationHypothesis; The Distribution of Bid-Ask Spreads; Bid-Ask Spreads, Trade Size and Market Activity; Regression Model of Spreads; Conclusion; References; AN ANALYSIS OF LIQUIDITY ACROSS MARKETS:EXECUTION COSTS ON THE NYSE VERSUSELECTRONIC MARKETS; Abstract; 1. Introduction; 2. Data and Sample Selection; 2.1. Data; 2.2. Sample Selection.

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