By Michael D. Bordo, Barry Eichengreen
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Additional info for A Retrospective on the Bretton Woods system
A t-Statistics are in parentheses. alternative measures. Note that a low R2 is characteristic of regression models that are developed to explain future monthly stock returns because the stock market is known to behave largely as a random walk. A substantially higher R2 is achieved with regressions that explain quarterly and semiannual returns. These higher R2 results occur because of the reduction in “noise” that occurs when long-term returns are used as the explanatory variable. The findings reported in Table 12 show that the TERM spread is the only variable that is positively associated with stock returns.
S. equity markets. S. monetary conditions. S. monetary policy. book Page 38 Thursday, November 9, 2000 11:17 AM The Role of Monetary Policy in Investment Management The evidence shows that stock returns in all market-capitalization deciles are significantly higher in expansive policy periods, especially for small-cap stocks. Furthermore, the small-cap premium is quite large during expansive policy periods and (except for the smallest-cap decile) virtually nonexistent during restrictive periods.
Short-term T-bills also fare better during restrictive monetary periods. The performance differential, however, is relatively small. Although investors have traditionally been reluctant to invest in futures contracts, the development of futures markets, combined with the corresponding decrease in transaction costs, has increased the interest in this class of securities. Furthermore, in 1992, the Chicago Mercantile Exchange introduced a contract based on the Goldman Sachs Commodity Index (GSCI), which makes trading in a portfolio of commodity futures a relatively simple task.
A Retrospective on the Bretton Woods system by Michael D. Bordo, Barry Eichengreen