Anticipated Money Growth and Stock Prices in Turkey
AbstractThis study investigates the validity of the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models that only unanticipated policy changes affect stock prices by using Turkish data over the period of 1986:1-1999:3. The procedure used to test the hypothesis is the autoregressive system introduced by McGee and Stasiak (1985). The empirical results reported in this paper imply that both anticipated and unanticipated monetary policy appears to play a significant expansionary impact upon stock prices. Such evidence for Turkey strongly rejects the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by EconWPA in its series Macroeconomics with number 0211010.
Length: 11 pages
Date of creation: 18 Nov 2002
Date of revision:
Note: Type of Document - Acrobat PDF; prepared on PC; to print on A4; pages: 11 ; figures: included. pdf document submitted via ftp
Contact details of provider:
Web page: http://220.127.116.11
anticipated unanticipated money growth stock prices sur shock;
Find related papers by JEL classification:
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-11-28 (All new papers)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Hylleberg, S. & Engle, R. F. & Granger, C. W. J. & Yoo, B. S., 1990.
"Seasonal integration and cointegration,"
Journal of Econometrics,
Elsevier, vol. 44(1-2), pages 215-238.
- Hyllerberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal Integration And Cointegration," Papers 0-88-2, Pennsylvania State - Department of Economics.
- Hylleberg, S. & Engle, R.F. & Granger, C.W.J. & Yoo, B.S., 1988. "Seasonal, Integration And Cointegration," Papers 6-88-2, Pennsylvania State - Department of Economics.
- McGee, Robert T & Stasiak, Richard T, 1985. "Does Anticipated Monetary Policy Matter? Another Look," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(1), pages 16-27, February.
- Barro, Robert J, 1977.
"Unanticipated Money Growth and Unemployment in the United States,"
American Economic Review,
American Economic Association, vol. 67(2), pages 101-15, March.
- Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
- Sargan, John Denis & Bhargava, Alok, 1983. "Testing Residuals from Least Squares Regression for Being Generated by the Gaussian Random Walk," Econometrica, Econometric Society, vol. 51(1), pages 153-74, January.
- Hamburger, Michael J & Kochin, Levis A, 1972. "Money and Stock Prices: The Channels of Influence," Journal of Finance, American Finance Association, vol. 27(2), pages 231-49, May.
- Barro, Robert J, 1978.
"Unanticipated Money, Output, and the Price Level in the United States,"
Journal of Political Economy,
University of Chicago Press, vol. 86(4), pages 549-80, August.
- Barro, Robert J., 1978. "Unanticipated Money, Output, and the Price Level in the United States," Scholarly Articles 3450988, Harvard University Department of Economics.
- Cooper, Richard V L, 1974. "Efficient Capital Markets and the Quantity Theory of Money," Journal of Finance, American Finance Association, vol. 29(3), pages 887-908, June.
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
- Rozeff, Michael S., 1974. "Money and stock prices : Market efficiency and the lag in effect of monetary policy," Journal of Financial Economics, Elsevier, vol. 1(3), pages 245-302, September.
- Homa, Kenneth E & Jaffee, Dwight M, 1971. "The Supply of Money and Common Stock Prices," Journal of Finance, American Finance Association, vol. 26(5), pages 1045-66, December.
- Chin-Hong, Puah & Muzafar Shah, Habibullah & Venus Khim-Sen, Liew, 2009.
"Is Money Neutral In Stock Market? The Case of Malaysia,"
24017, University Library of Munich, Germany, revised 2010.
- Chin-Hong Puah & Muzafar Shah Habibullah & Venus Khim-Sen Liew, 2010. "Is money neutral in stock market? The case of Malaysia," Economics Bulletin, AccessEcon, vol. 30(3), pages 1852-1861.
- Chin-Hong Puah, & Muzafar Shah Habibullah & Kian-Ping Lim, 2006.
"Testing Long-Run Neutrality Of Money: Evidence From Malaysian Stock Market,"
The IUP Journal of Applied Economics,
IUP Publications, vol. 0(4), pages 15-37, July.
- Puah, Chin-Hong & Habibullah, Muzafar Shah & Lim, Kian-Ping, 2006. "Testing long-run neutrality of money: evidence from Malaysian stock market," MPRA Paper 37676, University Library of Munich, Germany.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (EconWPA).
If references are entirely missing, you can add them using this form.