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100 CHAPTER 3. THE MONETARY MODEL20Stock Returns and Log Dividend Yield20Dollar/Pound15151050-5-101050-5-10-15-1573 75 77 79 81 83 85 87 89 91 93 95 97-2073 75 77 79 81 83 85 87 89 91 93 95 97Dollar/Deutschemark20151050-5-10-15-2073 75 77 79 81 83 85 87 89 91 93 95 97Dollar/Yen20151050-5-10-15-2073 75 77 79 81 83 85 87 89 91 93 95 97Figure 3.4: Quarterly stock and exchange rate returns (jagged line),1973.1 through 1997.4, with price deviations from the fundamentals(smooth line).
3.5. TESTING MONETARY MODEL PREDICTIONS 1010.80.60.4Actual0.20Theoretical-0.2-0.4-0.6-0.874 76 78 80 82 84 86 88 90 92 94 96Figure 3.5: Theoretical and actual spread, s t − f t .
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To Shirley, Laurie, and Leslii
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CONTENTSvii11 Balance of Payments C
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2 CHAPTER 1. SOME INSTITUTIONAL BAC
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10 CHAPTER 1. SOME INSTITUTIONAL BA
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24 CHAPTER 2. SOME USEFUL TIME-SERI
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150 CHAPTER 5. INTERNATIONAL REAL B
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162CHAPTER 6. FOREIGN EXCHANGE MARK
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208 CHAPTER 7. THE REAL EXCHANGE RA
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230 CHAPTER 8. THE MUNDELL-FLEMING
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264CHAPTER 9. THE NEW INTERNATIONAL
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308 CHAPTER 10. TARGET-ZONE MODELSa
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310 CHAPTER 10. TARGET-ZONE MODELSt
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312 CHAPTER 10. TARGET-ZONE MODELSC
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314 CHAPTER 10. TARGET-ZONE MODELSl
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316 CHAPTER 10. TARGET-ZONE MODELST
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318 CHAPTER 10. TARGET-ZONE MODELSa
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320 CHAPTER 10. TARGET-ZONE MODELSM
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322 CHAPTER 10. TARGET-ZONE MODELSt
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324 CHAPTER 10. TARGET-ZONE MODELS
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326 CHAPTER 10. TARGET-ZONE MODELS
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328 CHAPTER 11. BALANCE OF PAYMENTS
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358 AUTHOR INDEXFama, E.F., 161, 16
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Subject IndexAAbsorption, 16, 230AI
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362 SUBJECT INDEXEfficient capital
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364 SUBJECT INDEXMethod of undeterm
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366 SUBJECT INDEXRisk neutrality, 9
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368 SUBJECT INDEXImpulse response a
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