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International evidence on equity prices, interest rates and money

  • Lastrapes, W. D.

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Article provided by Elsevier in its journal Journal of International Money and Finance.

Volume (Year): 17 (1998)
Issue (Month): 3 (June)
Pages: 377-406

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Handle: RePEc:eee:jimfin:v:17:y:1998:i:3:p:377-406
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/30443

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  2. Rogalski, Richard J & Vinso, Joseph D, 1977. "Stock Returns, Money Supply and the Direction of Causality," Journal of Finance, American Finance Association, vol. 32(4), pages 1017-30, September.
  3. Olivier Jean Blanchard & Danny Quah, 1988. "The Dynamic Effects of Aggregate Demand and Supply Disturbances," NBER Working Papers 2737, National Bureau of Economic Research, Inc.
  4. Eric M. Leeper & David B. Gordon, 1991. "In search of the liquidity effect," International Finance Discussion Papers 403, Board of Governors of the Federal Reserve System (U.S.).
  5. David B. Gordon & Eric M. Leeper, 1992. "The dynamic impacts of monetary policy: an exercise in tentative identification," Working Paper 92-13, Federal Reserve Bank of Atlanta.
  6. Feldstein, Martin, 1980. "Inflation, tax rules and the stock market," Journal of Monetary Economics, Elsevier, vol. 6(3), pages 309-331, July.
  7. Ben S. Bernanke & Ilian Mihov, 1998. "Measuring Monetary Policy," The Quarterly Journal of Economics, MIT Press, vol. 113(3), pages 869-902, August.
  8. Jordi Galí & Richard Clarida, 1993. "Sources of real exchage rate fluctuations: How important are nominal shocks?," Economics Working Papers 66, Department of Economics and Business, Universitat Pompeu Fabra, revised Jan 1994.
  9. Jon Faust & Eric M. Leeper, 1994. "When do long-run identifying restrictions give reliable results?," Working Paper 94-2, Federal Reserve Bank of Atlanta.
  10. Tamim Bayoumi and Barry Eichengreen., 1992. "Shocking Aspects of European Monetary Unification," Economics Working Papers 92-187, University of California at Berkeley.
  11. Karras, Georgios, 1994. "Sources of business cycles in Europe: 1960-1988. Evidence from France, Germany, and the United Kingdom," European Economic Review, Elsevier, vol. 38(9), pages 1763-1778, December.
  12. Whiteman, Charles H, 1984. "Lucas on the Quantity Theory: Hypothesis Testing without Theory," American Economic Review, American Economic Association, vol. 74(4), pages 742-49, September.
  13. Feldstein, Martin, 1980. "Inflation and the Stock Market," American Economic Review, American Economic Association, vol. 70(5), pages 839-47, December.
  14. Geweke, John, 1988. "Antithetic acceleration of Monte Carlo integration in Bayesian inference," Journal of Econometrics, Elsevier, vol. 38(1-2), pages 73-89.
  15. James D. Hamilton, 1996. "Measuring the liquidity effect," Working Papers in Applied Economic Theory 96-06, Federal Reserve Bank of San Francisco.
  16. Lawrence J. Christiano & Martin Eichenbaum & Charles Evans, 1994. "The effects of monetary policy shocks: evidence from the Flow of Funds," Working Paper Series, Macroeconomic Issues 94-2, Federal Reserve Bank of Chicago.
  17. Ben Bernanke, 1990. "The Federal Funds Rate and the Channels of Monetary Transnission," NBER Working Papers 3487, National Bureau of Economic Research, Inc.
  18. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-79, March.
  19. Lastrapes, William D. & Selgin, George, 1995. "The liquidity effect: Identifying short-run interest rate dynamics using long-run restrictions," Journal of Macroeconomics, Elsevier, vol. 17(3), pages 387-404.
  20. David P. Ely & Kenneth J. Robinson, 1991. "Stock returns and inflation: further tests of the role of the central bank," Financial Industry Studies Working Paper 91-1, Federal Reserve Bank of Dallas.
  21. Day, Theodore E, 1984. " Real Stock Returns and Inflation," Journal of Finance, American Finance Association, vol. 39(2), pages 493-502, June.
  22. Lee E. Ohanian & Alan C. Stockman, 1995. "Theoretical issues of liquidity effects," Review, Federal Reserve Bank of St. Louis, issue May, pages 3-25.
  23. Bayoumi, Tamim & Eichengreen, Barry, 1992. "Shocking Aspects of Monetary Unification," Department of Economics, Working Paper Series qt791143kp, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
  24. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
  25. Lawrence J. Christiano & Martin Eichenbaum, 1992. "Liquidity effects, monetary policy, and the business cycle," Discussion Paper / Institute for Empirical Macroeconomics 70, Federal Reserve Bank of Minneapolis.
  26. Ahmed, Shaghil & Ickes, Barry W. & Ping Wang & Byung Sam Yoo, 1993. "International Business Cycles," American Economic Review, American Economic Association, vol. 83(3), pages 335-59, June.
  27. Matthew Shapiro & Mark Watson, 1988. "Sources of Business Cycles Fluctuations," NBER Chapters, in: NBER Macroeconomics Annual 1988, Volume 3, pages 111-156 National Bureau of Economic Research, Inc.
  28. Fisher, Mark E & Seater, John J, 1993. "Long-Run Neutrality and Superneutrality in an ARIMA Framework," American Economic Review, American Economic Association, vol. 83(3), pages 402-15, June.
  29. Cushman, David O. & Sang Sub Lee & Thorgeirsson, Thorsteinn, 1996. "Maximum likelihood estimation of cointegration in exchange rate models for seven inflationary OECD countries," Journal of International Money and Finance, Elsevier, vol. 15(3), pages 337-368, June.
  30. Kaul, Gautam, 1987. "Stock returns and inflation : The role of the monetary sector," Journal of Financial Economics, Elsevier, vol. 18(2), pages 253-276, June.
  31. Smith, Bruce D., 1994. "Mischief and monetary history Friedman and Schwartz thirty years later," Journal of Monetary Economics, Elsevier, vol. 34(1), pages 27-46, August.
  32. Fuerst, Timothy S., 1992. "Liquidity, loanable funds, and real activity," Journal of Monetary Economics, Elsevier, vol. 29(1), pages 3-24, February.
  33. Lastrapes, William D & Selgin, George A, 1994. "Buffer-Stock Money: Interpreting Short-Run Dynamics Using Long-Run Restrictions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 26(1), pages 34-54, February.
  34. Cochrane, John H, 1988. "How Big Is the Random Walk in GNP?," Journal of Political Economy, University of Chicago Press, vol. 96(5), pages 893-920, October.
  35. Lawrence J. Christiano, 1991. "Modeling the liquidity effect of a money shock," Quarterly Review, Federal Reserve Bank of Minneapolis, issue Win, pages 3-34.
  36. Marshall, David A, 1992. " Inflation and Asset Returns in a Monetary Economy," Journal of Finance, American Finance Association, vol. 47(4), pages 1315-42, September.
  37. Boschen, John F. & Mills, Leonard O., 1995. "Tests of long-run neutrality using permanent monetary and real shocks," Journal of Monetary Economics, Elsevier, vol. 35(1), pages 25-44, February.
  38. Lucas, Robert E, Jr, 1996. "Nobel Lecture: Monetary Neutrality," Journal of Political Economy, University of Chicago Press, vol. 104(4), pages 661-82, August.
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