E. Fama (1971) has shown that the classical, two-period, two-parameter capital asset pricing model can be generalized to the case of symmetric stable distributions. Fama develops his results using a one-factor ("market-model") distribution of returns. The present research shows that the same equilibrium results hold for all stable distributions of returns which allow for a concave and differentiable objective function; there is no need to assume symmetry or any other restrictions on the return structure. Furthermore, derivations are straightforward in that they rely only on elementary properties of homogeneous functions.

This paper provides new evidence on consumer subjective discount rate and the consumer horizon. Deriving the subjective interest rate for the United States, directly from total private wealth, the findings support Friedman's contention of a 3-year average horizon. Using the varying parameter method of estimation, a time series of factor of proportionality has been constructed and its behavior analyzed over the sample period 1929-69. Finally, the correlation between the permanent elements, permanent and transitory elements, and the transitory elements is verified. The results overwhelmingly support Friedman.

This paper analyzes a two-sector model of exchange rate determination for a mall open economy with flexible prices. Residents are assumed to hold both domestic and foreign currency and to have rational expectations. The model satisfies the homogeneity postulate but it is shown that an increase in the rate of expansions of money supply leads to an instantaneous deterioration of the real exchange rate. In the long run, however, the latter moves back to its previous level.

This paper deals with the effects of transaction costs on the efficacy of covered interest arbitrage during three periods: 1962-67, the tranquil peg; 1968-69, the turbulent peg; and 1973-75, the managed float. Several conclusions emerge: (i) during the managed float transaction costs have risen dramatically, (ii) these costs played a similar role in accounting for deviations from parity during the periods of the tranquil peg and the managed float but not during the turbulent peg. Similar conclusions emerge from a time-series analysis of the various exchange rates with the implication that a classification of periods according to the degree of turbulence is preferred to a classification based on the legal arrangement (e.g., pegged or floating rates), and (iii) covered interest arbitrage does not seem to entail unexploited opportunities for profits.

This paper analyzes a two-sector model of exchange rate determination for a mall open economy with flexible prices. Residents are assumed to hold both domestic and foreign currency and to have rational expectations. The model satisfies the homogeneity postulate but it is shown that an increase in the rate of expansions of money supply leads to an instantaneous deterioration of the real exchange rate. In the long run, however, the latter moves back to its previous level.

This paper deals with the effects of transaction costs on the efficacy of covered interest arbitrage during three periods: 1962-67, the tranquil peg; 1968-69, the turbulent peg; and 1973-75, the managed float. Several conclusions emerge: (i) during the managed float transaction costs have risen dramatically, (ii) these costs played a similar role in accounting for deviations from parity during the periods of the tranquil peg and the managed float but not during the turbulent peg. Similar conclusions emerge from a time-series analysis of the various exchange rates with the implication that a classification of periods according to the degree of turbulence is preferred to a classification based on the legal arrangement (e.g., pegged or floating rates), and (iii) covered interest arbitrage does not seem to entail unexploited opportunities for profits.