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The Movement of Interest Rates, Bond Yields and Stock Prices in the United States since 1856

The Movement of Interest Rates, Bond Yields and Stock Prices in the United States since 1856

The Movement of Interest Rates, Bond Yields and Stock Prices in the United States since 1856

Author: Frederick R. Macaulay
Publisher: Risk Books
ISBN: 9781899332724
Published In: October 1999
Format: Paperback
Jurisdiction: U.S. ? Disclaimer:
Countri(es) stated herein are used as reference only

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Contents
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“A seminal work that contains the seeds of many of the pricing and risk management tools used in interest-rate markets today.“

Alan White, Professor of Finance, University of Toronto

Preface by Wesley C. Mitchel

I. Introduction

II. The Concept of Long Term Interest Rates

III. Some Theoretical and Practical Difficulties of Comparing Long Term Interest Rates at Different and Especially at Widely Separated Dates

IV. The Relation of the Movements of Bond Yields to the Grades of the Bonds - Economic ’Drift’

V. Bond Yields, Economic ’Drift’, and the Prices of Common Stocks

VI. Interest Rates and Commodity Prices

VII. Factual Leads and Lags and Empirical Forecasting

List of Tables

List of Charts

Appendix

Tables

Professor Irving Fisher’s Statistical Measures of ’Price Change’

The Meaning of Gold Yields of Bonds Payable

Principal and Interest in Currency

Methods for Computing Cyclical and Trend

Graduations and Moving Seasonals

Short Term Interest Rates

“To the extent the modern world is a product of the efficency of capital markets and the ability to calculate and understand the risk in those markets, then clearly we owe an enourmous debt to Frederick Macaulay.“

John Harding, Vice President, Product Research & Development, Chicago Board of Trade

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