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

  • Kearney, Colm
  • Daly, Kevin

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File URL: http://www.sciencedirect.com/science/article/pii/S1057-5219(97)90009-0
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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
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620166

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  12. Officer, R R, 1973. "The Variability of the Market Factor of the New York Stock Exchange," The Journal of Business, University of Chicago Press, vol. 46(3), pages 434-53, July.
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  14. 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.
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  17. 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.
  18. Kramer, Charles, 1994. " Macroeconomic Seasonality and the January Effect," Journal of Finance, American Finance Association, vol. 49(5), pages 1883-91, December.
  19. Smith, J. & Murphy, C., 1991. "Macroeconomic Fluctuations in the Autralian Economy," Papers 222, Australian National University - Department of Economics.
  20. Gultekin, Mustafa N. & Gultekin, N. Bulent, 1983. "Stock market seasonality : International Evidence," Journal of Financial Economics, Elsevier, vol. 12(4), pages 469-481, December.
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  22. G. William Schwert, 1988. "Why Does Stock Market Volatility Change Over Time?," NBER Working Papers 2798, National Bureau of Economic Research, Inc.
  23. 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.
  24. Fama, Eugene F., 1976. "Forward rates as predictors of future spot rates," Journal of Financial Economics, Elsevier, vol. 3(4), pages 361-377, October.
  25. Chadha, Binky, 1989. "Is Increased Price Inflexibility Stabilizing?," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 21(4), pages 481-97, November.
  26. Pagan, Adrian, 1984. "Econometric Issues in the Analysis of Regressions with Generated Regressors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 25(1), pages 221-47, February.
  27. 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.
  28. Romer, Christina, 1986. "Spurious Volatility in Historical Unemployment Data," Journal of Political Economy, University of Chicago Press, vol. 94(1), pages 1-37, February.
  29. Tatom, John A, 1985. "Interest Rate Variability and Economic Performance: Further Evidence [The Effects on Output of Money Growth and Interest Rate Volatility in the United States]," Journal of Political Economy, University of Chicago Press, vol. 93(5), pages 1008-18, October.
  30. Adrian Pagan, 1985. "Two Stage and Related Estimators and Their Applications," Cowles Foundation Discussion Papers 741, Cowles Foundation for Research in Economics, Yale University.
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  32. 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.
  33. 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.
  34. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
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  40. Michael T. Belongia, 1984. "Money growth variability and GNP," Review, Federal Reserve Bank of St. Louis, issue Apr, pages 23-31.
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