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Monetary volatility and real output volatility: An empirical model of the financial transmission mechanism in Australia

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  • Kearney, Colm
  • Daly, Kevin

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Bibliographic Info

Article provided by Elsevier in its journal International Review of Financial Analysis.

Volume (Year): 6 (1997)
Issue (Month): 2 ()
Pages: 77-95

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Handle: RePEc:eee:finana:v:6:y:1997:i:2:p:77-95

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Web page: http://www.elsevier.com/locate/inca/620166

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References

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  1. LeRoy, Stephen F & Parke, William R, 1992. "Stock Price Volatility: Tests Based on the Geometric Random Walk," American Economic Review, American Economic Association, vol. 82(4), pages 981-92, September.
  2. Smith, J. & Murphy, C., 1991. "Macroeconomic Fluctuations in the Autralian Economy," Papers 222, Australian National University - Department of Economics.
  3. Gale, D. & Allen, F., 1991. "Limited Market Participation and Volatility of Asset Prices," Weiss Center Working Papers 14-91, Wharton School - Weiss Center for International Financial Research.
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  6. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Cowles Foundation Discussion Papers 719R, Cowles Foundation for Research in Economics, Yale University.
  7. Michael T. Belongia, 1984. "Money growth variability and GNP," Review, Federal Reserve Bank of St. Louis, issue Apr, pages 23-31.
  8. Diebold & Lopez, . "Modeling Volatility Dynamics," Home Pages _062, University of Pennsylvania.
  9. John Y. Campbell & Albert S. Kyle, 1988. "Smart Money, Noise Trading and Stock Price Behavior," NBER Technical Working Papers 0071, National Bureau of Economic Research, Inc.
  10. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May.
  11. Merton, Robert C, 1987. " A Simple Model of Capital Market Equilibrium with Incomplete Information," Journal of Finance, American Finance Association, vol. 42(3), pages 483-510, July.
  12. Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
  13. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  14. Fama, Eugene F., 1976. "Forward rates as predictors of future spot rates," Journal of Financial Economics, Elsevier, vol. 3(4), pages 361-377, October.
  15. John Y. Campbell & Robert J. Shiller, 1989. "Stock Prices, Earnings and Expected Dividends," NBER Working Papers 2511, National Bureau of Economic Research, Inc.
  16. Shiller, Robert J, 1981. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," American Economic Review, American Economic Association, vol. 71(3), pages 421-36, June.
  17. John B. Taylor, 1988. "Improvements in Macroeconomic Stability: The Role of Wages and Prices," NBER Working Papers 1491, National Bureau of Economic Research, Inc.
  18. McMillin, W Douglas, 1988. "Money Growth Volatility and the Macroeconomy," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 20(3), pages 319-35, August.
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  20. Pagan, Adrian, 1986. "Two Stage and Related Estimators and Their Applications," Review of Economic Studies, Wiley Blackwell, vol. 53(4), pages 517-38, August.
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  25. Pagan, A.R. & Kearns, P., 1990. "Ustralian Stock Market Volatility: 1875-1987," RCER Working Papers 248, University of Rochester - Center for Economic Research (RCER).
  26. Gray, Jo Anna & Kandil, Magda, 1991. "Is Price Flexibility Stabilizing? A Broader Perspective," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 23(1), pages 1-12, February.
  27. Mcleer, M. & Mckenzie, C.R., 1989. "When Are Two Step Estimators Efficient?," Papers 179, Australian National University - Department of Economics.
  28. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  29. Taylor, John B, 1979. "Estimation and Control of a Macroeconomic Model with Rational Expectations," Econometrica, Econometric Society, vol. 47(5), pages 1267-86, September.
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  31. Kramer, Charles, 1994. " Macroeconomic Seasonality and the January Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1883-91, December.
  32. Evans, Paul, 1984. "The Effects on Output of Money Growth and Interest Rate Volatility in the United States," Journal of Political Economy, University of Chicago Press, vol. 92(2), pages 204-22, April.
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  35. J. Bradford De Long & Lawrence H. Summers, 1987. "Is Increased Price Flexibility Stabilizing?," NBER Working Papers 1686, National Bureau of Economic Research, Inc.
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Cited by:
  1. Döpke, Jörg & Pierdzioch, Christian, 1998. "Brokers and business cycles: Does financial market volatility cause real fluctuations?," Kiel Working Papers 899, Kiel Institute for the World Economy.

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