MONETARY AND FISCAL POLICIES AND STOCK PRICES

Investigations into business cycles have found money supply to be a lead variable to stock prices. However, some would argue that the stock market, being efficient, anticipates money supply changes and therefore, stock prices are lead variables to money supply changes. Recent developments in time se...

Full description

Saved in:
Bibliographic Details
Published in:Journal of business finance & accounting 1982-03, Vol.9 (1), p.75-91
Main Authors: Singh, Saraswati P., Talwar, Prem P.
Format: Article
Language:English
Subjects:
Causality
Economic activity
Fiscal policy
Monetary policy
Regression analysis
Stock prices
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Investigations into business cycles have found money supply to be a lead variable to stock prices. However, some would argue that the stock market, being efficient, anticipates money supply changes and therefore, stock prices are lead variables to money supply changes. Recent developments in time series methods have facilitated the testing of these relationships through identifying bivariate and multivariate autoregressive models. However, in many cases, the results using different procedures contradict themselves and are in conflict with theoretical reasonings. In this paper the causal relationship is tested between fiscal and monetary policies and stock prices using Canadian data and bivariate andmultivariate autoregressive models.
ISSN:0306-686X
1468-5957
DOI:10.1111/j.1468-5957.1982.tb00974.x