Money, debt, and economic activity

Koray, Faik; Hill, R. Carter

doi:10.1016/0164-0704(88)90025-0

Cited by 4 publications

(2 citation statements)

References 28 publications

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“…Second, typical applications of multivariate Granger-causality tests (e.g., Mishkin (1982) and Koray and Hill (1988)) regress the dependent variable on its own lagged values and the lagged values of other candidate independent variables, imposing a common lag length on all explanatory variables. Causality inferences are then generated on the basis of the joint significance of the coefficients.…”

Section: Data and Econometric Methodologymentioning

confidence: 99%

Stock Returns, Money, and Fiscal Deficits

Darrat¹

1990

The Journal of Financial and Quantitative Analysis

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Section: Data and Econometric Methodologymentioning

confidence: 99%

Stock Returns, Money, and Fiscal Deficits

Darrat¹

1990

The Journal of Financial and Quantitative Analysis

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“…[See, for example, Dwyer (1982), Mishkin (1982), Plosser (1987), and Koray and Hill (1988).] Causality inferences are then generated on the basis of the joint significance of coefficients.…”

Section: Methodsmentioning

confidence: 99%

Real estate returns, money and fiscal deficits: Is the real estate market efficient?

Darrat

Glascock

1989

J Real Estate Finan Econ

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This research examines the causal relationship between several financial variables and a portfolio of real estate returns using monthly data from January 1965 to December 1986. The empirical analysis is based on multivariate Granger-causality tests in conjunction with Akaike's final prediction error criterion. The results indicate that measures approximating monetary policy and market returns play an important role in causing changes in real estate returns. In particular, our findings suggest that base money and market returns have had significant lagged effects on cmTent real estate returns.Numerous empirical studies have examined the validity of the stock market efficiency (SME) hypothesis, particularly in regard to the role of monetary policy. In its semi-strong form, the SME hypothesis contends that stock prices reflect rapidly all publicly available (lagged) information including monetary policy moves. Our main purpose is to assess empirically the relationship between monetary policy (and other financial variables) and real estate returns. We hypothesize that while the stock market as a whole might not exhibit a lagged relation with money growth and other key variables, particular industries may. As different industries react to and against each other, the overall lagged relationship could thus be masked.The empirical evidence so far has not been inconsistent with both the SME hypothesis and the portfolio theory views of the stock market.

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A reexamination of Mishkin's neutrality test

Shelley

Wallace

1995

Journal of Economics and Business

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Money, debt, and economic activity

Cited by 4 publications

References 28 publications

Stock Returns, Money, and Fiscal Deficits

Stock Returns, Money, and Fiscal Deficits

Real estate returns, money and fiscal deficits: Is the real estate market efficient?

A reexamination of Mishkin's neutrality test

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