The New Palgrave Dictionary of Money and Finance is a successor to the 1987 work The New Palgrave: A Dictionary of Economics. Both dictionaries claim descent from Palgrave's Dictionary of Political Economy, published as a summary of the state of economics during the 1890s. The same team of three editors is responsible for both New Palgrave dictionaries,1 and there are many similarities in approach. Indeed, about 20 percent of the essays in the New Palgrave Money and Finance are reprinted from the New Palgrave Economics (and ten essays are reprinted from the original Palgrave). There are also some obvious differences between the two New Palgrave dictionaries. The New Palgrave Economics had a much broader scope, aiming to cover all of modern economics. It was considerably larger than the New Palgrave Money and Finance, with four volumes rather than three, 3500 pages rather than 2500, and almost 2000 essays rather than 1000 or so. The New Palgrave Economics included biographical essays, which took up about a third of the work; the New Palgrave Money and Finance has no biography but includes many short definitions of technical terms. Last but not least, the New Palgrave Economics omitted empirical topics to concentrate on economic theory and history of economic thought, while the New Palgrave Money and Finance covers much empirical material.

The permanent income hypothesis implies that people save because they rationally expect their labor income to decline; they save a rainy day. It follows that saving should be at least as good a predictor of declines in labor income as any other forecast that can be constructed from publicly available information.The paper tests this hitherto ignored implication of the permanent income hypothesis, using quarterly aggregate data for the period 1953-84 in the U.S. A vector autoregression for saving and changes in labor income is used to generate an unrestricted forecast of declines in labor income. In the VAR, saving Granger causes labor income changes as one would expect if the PIH is true. The mean of the unrestricted forecast is far from the mean of saving, but the dynamics of the two series are quite similar.The paper presents both formal test statistics and an informal evaluation of the fit of the permanent income hypothesis. By contrast with most of the recent literature, the results here are valid when income is nonstationary.

November 01 2001 A Comment on James M. Poterba's ‘Demographic Structure and Asset Returns’ John Y. Campbell John Y. Campbell Harvard University Search for other works by this author on: This Site Google Scholar Author and Article Information John Y. Campbell Harvard University Received: June 12 2001 Accepted: June 12 2001 Online ISSN: 1530-9142 Print ISSN: 0034-6535 © 2001 President and Fellows of Harvard College and the Massachusetts Institute of Technology2001 The Review of Economics and Statistics (2001) 83 (4): 585–588. https://doi.org/10.1162/003465301753237669 Article history Received: June 12 2001 Accepted: June 12 2001 Cite Icon Cite Permissions Share Icon Share Facebook Twitter LinkedIn Email Views Icon Views Article contents Figures & tables Video Audio Supplementary Data Peer Review Search Site Citation John Y. Campbell; A Comment on James M. Poterba's ‘Demographic Structure and Asset Returns’. The Review of Economics and Statistics 2001; 83 (4): 585–588. doi: https://doi.org/10.1162/003465301753237669 Download citation file: Ris (Zotero) Reference Manager EasyBib Bookends Mendeley Papers EndNote RefWorks BibTex toolbar search Search Dropdown Menu toolbar search search input Search input auto suggest filter your search All ContentAll JournalsThe Review of Economics and Statistics Search Advanced Search This content is only available as a PDF. © 2001 President and Fellows of Harvard College and the Massachusetts Institute of Technology2001 Article PDF first page preview Close Modal You do not currently have access to this content.

Expectations theories of asset returns may be interpreted either as stating that risk premia are zero or that they are constant through time. Under the former interpretation, different versions of the expectations theory of the term structure are inconsistent with one another, but I show that this does not necessarily carry over to the constant risk premium interpretation of the theory. I present a general equilibrium example in which different types of risk premium are constant through time and dependent only on maturity. Furthermore, I argue that differences among expectations theories are second‐order effects of bond yield variability. I develop an approximate linearized framework for analysis of the term structure in which these differences disappear, and I test its accuracy in practice using data from the CRSP government bond tapes.

We show that the stock market downturns of 2000–2002 and 2007–2009 have very different proximate causes. The early 2000s saw a large increase in the discount rates applied to profits by rational investors, while the late 2000s saw a decrease in rational expectations of future profits. We reach these conclusions by using a VAR model of aggregate stock returns and valuations, estimated both without restrictions and imposing the cross-sectional restrictions of the intertemporal capital asset pricing model (ICAPM). Our findings imply that the 2007–2009 downturn was particularly serious for rational long-term investors, whose losses were not offset by improving stock return forecasts as in the previous recession.

The SEC and FASB recently expressed concerns that investors do not fully assimilate all of the information provided by complex and incomplete derivatives and other comprehensive income ( OCI ) disclosures. My evidence supports these concerns. Specifically, I examine the information content of unrealized cash flow hedge gains/losses for future profitability and stock returns. An unrealized gain on a cash flow hedge suggests that the price of the underlying hedged item (i.e., commodity price, foreign currency exchange rate, or interest rate) moved in a direction that will impair the firm's profits after the hedge expires. Consequently, I find that unrealized cash flow hedge gains/losses are negatively associated with future gross profit after the firm's existing hedges have expired. This association only holds after the firm has reclassified its hedges into earnings, and is weaker for firms that can pass input price changes on to their customers. Finally, investors do not immediately price the cash flow hedge information. Instead, investors appear surprised by future realizations of gross margin, consistent with the view that complex and incomplete disclosures delay pricing. These results are relevant to policymakers involved in the current FASB and IASB project designed to simplify the accounting and disclosure for derivatives and, in particular, cash flow hedges.

According to the conventional view of the business cycle, fluctuations in output represent temporary deviations from trend. The purpose of this paper is to question this conventional view. If fluctuations in output are dominated by temporary deviations from the natural rate of output, then an unexpected change in output today should not substantially change one's forecast of output in, say, five or ten years. Our examination of quarterly postwar United States data leads us to be skeptical about this implication. The data suggest that an unexpected change in real GNP of 1 percent should change one's forecast by over 1 percent over a long horizon.

Darius J. Conger, John M. Campbell, Jr., Simultaneity in the Birth Rate Equation: The Effects of Eduction, Labor Force Participation, Income and Health, Econometrica, Vol. 46, No. 3 (May, 1978), pp. 631-641