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Impact of money supply on stock bubbles

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  • Sirucek, Martin

Abstract

This article is focus on the effect and implications of changes in money supply in US on stock bubble rise on the US capital market, which is represented by the Dow Jones Industrial Average index. This market was chosen according to the market capitalization. The attention of paper is focused on problems, if according to the results of empirical analysis is the money supply significant factor which cause the bubbles and if during the time growth the significancy and impact of this macroeconomic factor on stock index.

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File URL: http://mpra.ub.uni-muenchen.de/51476/
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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 51476.

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Date of creation: 07 Oct 2013
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Handle: RePEc:pra:mprapa:51476

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Keywords: money supply; stock market; stock bubbles; granger causality; Dickey-Fuller test;

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  1. Christos Ioannidis & Alexandros Kontonikas, 2006. "Monetary Policy and the Stock Market: Some International evidence," Working Papers, Business School - Economics, University of Glasgow 2006_12, Business School - Economics, University of Glasgow.
  2. Farrell, James L, Jr, 1974. "Analyzing Covariation of Returns to Determine Homogeneous Stock Groupings," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 47(2), pages 186-207, April.
  3. Stephen G. Cecchetti & Nelson C. Mark & Robert J. Sonora, 2002. "Price Index Convergence Among United States Cities," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 43(4), pages 1081-1099, November.
  4. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 115-146, November.
  5. Alan Greenspan, 2004. "Risk and Uncertainty in Monetary Policy," American Economic Review, American Economic Association, American Economic Association, vol. 94(2), pages 33-40, May.
  6. Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 59(3), pages 383-403, July.
  7. Nelson, Charles R, 1976. "Inflation and Rates of Return on Common Stocks," Journal of Finance, American Finance Association, American Finance Association, vol. 31(2), pages 471-83, May.
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