Working Paper Abstracts – 1977

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Working Paper Abstracts – 1977

01-77
No Abstract

02-77
No Abstract

03-77
No Abstract

04-77

This study reformulates the National Income Accounts definitions of the government deficit and surplus and gross private saving. These new definitions are based on employing the change in the real value of government debt, due to price and interest rate changes, as a measure of the real deficit rather than the real value of the nominal debt change, as is now calculated by the Department of Commerce. The two definitions are identical if government debt were fully indexed. The major empirical differences in the revised statistics are a larger deficit during the Depression years and a much smaller deficit during inflationary periods, particularly during World War II and recent years. During the last decade the government has actually run substantial surpluses in real terms despite the cash deficits reported by the Department of Commerce. The redefined gross private saving ratio is reduced in periods of inflation and displays the same variability as the national savings rate instead of the significantly lower variability reported by the traditional statistics. In the post-War data, there is a significant negative correlation between the national saving rate and the reformulated gross private savings ratio.

05-77
No Abstract

06-77
No Abstract

07-77
No Abstract

08-77

The purpose of this study is to build and test a statistical model for the dynamic estimation of portfolio Betas. Of particular interest is the quality of Beta estimates obtainable from relatively small samples of daily return data. Also of particular interest is an assessment of the relationship between the quality of these estimates and the degree of portfolio diversification.

For obvious reasons it is desirable for a mutual fund manager to have the best possible estimates of the ongoing (and possibly changing) Betas of competitive funds. These estimates together with estimates of the degree of diversification will allow a portfolio manager to develop investment strategies relative to the expected performance of his own portfolio and his competitors in the market cycle ahead.

These estimates will also allow inferences to be made with respect to the current market outlook of each individual competitor. For example, a gradually increasing fund Beta would indicate a bullish outlook on the part of a particular competitor.

09-77
No Abstract

10-77
No Abstract

11-77
No Abstract

12-77
No Abstract

13-77
No Abstract

14-77
No Abstract

15-77
No Abstract

16-77
No Abstract

17-77
No Abstract

18-77

This paper analyzes the structure of an international capital market characterized by differing consumption patterns across boundaries and by uncertainty on the exchange rates, the national inflation rates and the commodity and security prices. The crucial assumption is that, independently of their nationality, investors share the same beliefs about the stochastic processes that generate the random variables. Thus the paper is compatible with a divergence, across boundaries, of the relative spot commodity prices but not with differing beliefs about how these relative prices will adjust through time.

At the micro-level, the paper indicates the separation properties of portfolio allocation in an international setting. At the macro or valuation level, it expresses the risk-return tradeoff in nominal term and it shows that, in real terms, the standard CAPM still holds. The paper ends up by analyzing the factors that affect the discount rate on a forward exchange contract.