Robert J Hodrick
Biographic Data
| ID | 1062993 |
|---|---|
| NAME | Robert J Hodrick |
| GIVEN NAMES | Robert J |
| FAMILY NAME | Hodrick |
| SIGNATURE | HODRICK R J |
| AFFILIATIONS | Professor of Finance, Kellogg Graduate School of Management, Northwestern University, Evanston, Illinois; Research Associates of the National Bureau of Economic Research, Cambridge, Massachusetts. |
| VERIFIED | No |
| TOTAL WORKS | 5 |
| TOTAL CITATIONS | 40 |
| WORKS AS AUTHOR | 5 |
| WORKS AS EDITOR | 0 |
| FIRST PUBLICATION YEAR | 1980 |
| LATEST PUBLICATION YEAR | 1997 |
| H-INDEX | 3 |
Postwar U.S. Business Cycles
A study documents some features of aggregate economic fluctuations sometimes referred to as business cycles. The investigation uses quarterly data from the postwar US economy. The fluctuations studied are those that are too rapid to be accounted for by slowly changing demographic and technological factors and changes in the stocks of capital that produce secular growth in output per capita. The study proposes a procedure for representing a times …
The Variability of Velocity in Cash-in-Advance Models
Monetary models based on cash-in-advance constraints make strong predictions about the stochastic properties of endogenous variables such as the velocity of circulation of money, the rate of inflation, and real and nominal interest rates. The authors develop numerical methods to understand these predictions because the models cannot be characterized analytically. They calibrate some cash-in-advance models using driving processes estimated from U.…
On Testing for Speculative Bubbles
The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational expectations model. Empirical work in this area concentrates primarily on indeterminacies in pric…
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Journal Article The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets Get access The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. By J. HODRICK ROBERT. (London: Harwood Academic Publishers, 1987. Pp. viii+174. US$37.00, US$18.00. ISBN 3 7186 0415 9.) Richard T. Baillie Richard T. Baillie Michigan State University Search for other works by this author on: Oxford Academic G…
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
This paper examines the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the logarithm of the future spot rate. A new computationally tractable econometric methodology for examining restrictions on a k-step-ahead forecasting equation is employed. Using data sampled more finely than the forecast i…
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
This paper examines the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the logarithm of the future spot rate. A new computationally tractable econometric methodology for examining restrictions on a k-step-ahead forecasting equation is employed. Using data sampled more finely than the forecast i…
On Testing for Speculative Bubbles
The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational expectations model. Empirical work in this area concentrates primarily on indeterminacies in pric…
The Variability of Velocity in Cash-in-Advance Models
Monetary models based on cash-in-advance constraints make strong predictions about the stochastic properties of endogenous variables such as the velocity of circulation of money, the rate of inflation, and real and nominal interest rates. The authors develop numerical methods to understand these predictions because the models cannot be characterized analytically. They calibrate some cash-in-advance models using driving processes estimated from U.…
Forward Exchange Rates as Optimal Predictors of Future Spot Rates
This paper examines the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the logarithm of the future spot rate. A new computationally tractable econometric methodology for examining restrictions on a k-step-ahead forecasting equation is employed. Using data sampled more finely than the forecast i…
The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets
Journal Article The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets Get access The Empirical Evidence on the Efficiency of Forward and Futures Foreign Exchange Markets. By J. HODRICK ROBERT. (London: Harwood Academic Publishers, 1987. Pp. viii+174. US$37.00, US$18.00. ISBN 3 7186 0415 9.) Richard T. Baillie Richard T. Baillie Michigan State University Search for other works by this author on: Oxford Academic G…
On Testing for Speculative Bubbles
The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational expectations model. Empirical work in this area concentrates primarily on indeterminacies in pric…
The Variability of Velocity in Cash-in-Advance Models
Monetary models based on cash-in-advance constraints make strong predictions about the stochastic properties of endogenous variables such as the velocity of circulation of money, the rate of inflation, and real and nominal interest rates. The authors develop numerical methods to understand these predictions because the models cannot be characterized analytically. They calibrate some cash-in-advance models using driving processes estimated from U.…
Postwar U.S. Business Cycles
A study documents some features of aggregate economic fluctuations sometimes referred to as business cycles. The investigation uses quarterly data from the postwar US economy. The fluctuations studied are those that are too rapid to be accounted for by slowly changing demographic and technological factors and changes in the stocks of capital that produce secular growth in output per capita. The study proposes a procedure for representing a times …
Economics (5 works) · Monetary Policy and Economic Impact (5 works) · Econometrics (4 works) · Financial economics (3 works) · Mathematics (3 works) · Monetary economics (3 works) · Complex Systems and Time Series Analysis (2 works) · Economic theories and models (2 works) · Exchange rate (2 works) · Finance (2 works)