Stock prices, money supply, and interest rates: the question of causality

Autor:	Philip Taylor, Nozar Hashemzadeh
Rok vydání:	1988
Předmět:	Economics and Econometrics Endogenous money Cost price Stock exchange Financial economics Stock and flow Stock market bubble Money supply Economics Monetary economics Restricted stock Market maker
Zdroj:	Applied Economics. 20:1603-1611
ISSN:	1466-4283 0003-6846
DOI:	10.1080/00036848800000091
Popis:	The purpose of this study is to examine the statistical relationship between the supply of money and stock price levels and between the level of interest rates and stock prices. The current literature in financial economics offers differing opininon on each of these relationship. This research addresses a significant aspect of this debate by examining the direction of causality between the money supply, stock prices and interest rates. Using Granger–Sims' test for determining unidirectional causality, we find that the relationship between the money supply and stock prices is characterized by a feedback system, with money supply causing some of the observed variations in the stock price levels and vice versa. With respect to the relationship between stock prices and interest rates, the results are not as conclusive. In this instance, the causality seems to be mostly running from interest rates to stock prices, and not the other way around.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::fc9984f535b8bb13af176e4749fa76c6 https://doi.org/10.1080/00036848800000091 Zobrazit plný text záznamu Plný text ve formátu PDF