Analyzing Efficient Markets & Real Interest Rates with Hayashi & Fama's Data, Assignments of Introduction to Sociology

Download Analyzing Efficient Markets & Real Interest Rates with Hayashi & Fama's Data and more Assignments Introduction to Sociology in PDF only on Docsity! Problem Set 4 Due Wednesday, February 17 This problem set asks you to replicate and extend the analysis by Hayashi and Fama of the joint hypothesis of efficient markets and constant ex ante real interest rates. You can download the data set from http://fhayashi.fc2web.com/datasets.htm The data set for this problem can be obtained in either ASCII format (http://fhayashi.fc2web.com/hayashi%20econometrics/ch2/mishkin.asc) or Excel spreadsheet (http://fhayashi.fc2web.com/hayashi%20econometrics/ch2/mishkin.xls) This data set has the following monthly data from February 1950 to December 1990: Column 1: year Column 2: month Column 3: one-month inflation rate (at annual rate) Column 4: three-month inflation rate (at annual rate) Column 5: one-month T-bill rate (at annual rate), as of beginning of month t Column 6: three-month T-bill rate (in percent, annual rate), as of beginning of month t Column 7: CPI for urban consumers, all items (the 1982-1984 average is set to 100), as reported for month t and assumed to be known at the end of month t. For this exercise we will only use columns 5 and 7. You can analyze this data set using any package you like. You should hand in a copy of your computer output along with a brief write-up of your calculations and answers to the following specific questions. This problem set includes instructions for carrying out some of the steps on STATA, since that is up in the lab. STATA wants to input data in csv format (comma separated values), which you can create by opening nerlove.xls with a spreadsheet program such as Excel and saving as csv type. After opening STATA, you can make sure you have a new session by typing the command clear If the directory you’re using for your anlysis has the address c:\mydocs\ prob4 you can migrate to that directory using the command cd “c:\mydocs\ prob4" We’ll next read the data into the format of a STATA data file (*.dta file) which we’ll call “mishkin.dta" using the STATA “insheet" command. We can create a log that records what we did (call it “convert.log") using the “log using" command, like this: log using convert.log,replace insheet using mishkin.csv save mishkin.dta log close You can then set up a new log (call it “mishkin.log") of your regression results, which could look something like this: clear use mishkin.dta log mishkin.log, replace