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A Disaggregated Structural Model of the Treasury Securities, Corporate Bond, and Equity Markets: Estimation and Simulation Results

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  • V. Vance Roley
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    Abstract

    The estimation and simulation results of a disaggregated structural model of u\U.S. security markets are presented in this paper. The model consists of estimated demands for corporate bonds, equities, and four distinct maturity classes of Treasury securities by 11 categories of investors. The model is closed with the addition of six market-clearing identities equating market demands with exogenous supplies. The empirical results provide support to the model's specification and indicate that the "within-sample forecasts" of the six endogenous security yields closely track historical data.

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    File URL: http://www.nber.org/papers/t0007.pdf
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    Bibliographic Info

    Paper provided by National Bureau of Economic Research, Inc in its series NBER Technical Working Papers with number 0007.

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    Date of creation: Dec 1980
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    Handle: RePEc:nbr:nberte:0007

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    1. Brundy, James M & Jorgenson, Dale W, 1971. "Efficient Estimation of Simultaneous Equations by Instrumental Variables," The Review of Economics and Statistics, MIT Press, vol. 53(3), pages 207-24, August.
    2. Silber, William L, 1969. "Portfolio Substitutability, Regulations, and Monetary Policy," The Quarterly Journal of Economics, MIT Press, vol. 83(2), pages 197-219, May.
    3. Roley, V Vance, 1980. "The Role of Commercial Banks' Portfolio Behavior in the Determination of Treasury Security Yields," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 12(2), pages 353-69, Special I.
    4. James Tobin, 1956. "Liquidity Preference as Behavior Towards Risk," Cowles Foundation Discussion Papers 14, Cowles Foundation for Research in Economics, Yale University.
    5. Friedman, Benjamin M, 1979. "Substitution and Expectation Effects on Long-Term Borrowing Behavior and Long-Term Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 11(2), pages 131-50, May.
    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
    7. James M. Brundy & Dale W. Jorgenson, 1971. "Efficient estimation of simultaneous equations by instrumental variables," Working Papers in Applied Economic Theory 3, Federal Reserve Bank of San Francisco.
    8. David Backus & William C. Brainard & Gary Smith & James Tobin, 1980. "A Model of U.S. Financial and Nonfinancial Economic Behavior," Cowles Foundation Discussion Papers 548, Cowles Foundation for Research in Economics, Yale University.
    9. Friedman, Benjamin M, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Journal of Political Economy, University of Chicago Press, vol. 85(4), pages 661-89, August.
    10. V. Vance Roley, 1978. "Interest rate variability, the level of interest rates, and monetary policy," Economic Review, Federal Reserve Bank of Kansas City, issue Sep, pages 17-27.
    11. V. Vance Roley, 1978. "Federal debt management policy: a re-examination of the issues," Economic Review, Federal Reserve Bank of Kansas City, issue Feb, pages 14-23.
    12. Friedman, Benjamin Morton, 1977. "Financial Flow Variables and the Short-Run Determination of Long-Term Interest Rates," Scholarly Articles 4554309, Harvard University Department of Economics.
    13. Benjamin M. Friedman & V. Vance Roley, 1979. "A Note on the Derivation of Linear Homogeneous Asset Demand Functions," NBER Working Papers 0345, National Bureau of Economic Research, Inc.
    14. Friedman, Benjamin M & Roley, V Vance, 1979. "Investors' Portfolio Behavior under Alternative Models of Long-Term Interest Rate Expectations: Unitary, Rational, or Autoregressive," Econometrica, Econometric Society, vol. 47(6), pages 1475-97, November.
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    Cited by:
    1. Benjamin M. Friedman, 1982. "Interest Rate Implications for Fiscal and Monetary Policies: A Postscript on the Government Budget Constraint," NBER Working Papers 0886, National Bureau of Economic Research, Inc.
    2. Carl E. Walsh, 1981. "Measurement Error and the Flow of Funds Accounts: Estimates of HouseholdAsset Demand Equations," NBER Working Papers 0732, National Bureau of Economic Research, Inc.

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