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Anticipated Money Growth and Stock Prices in Turkey

  • Rahmi Yamak

    (Karadeniz Technical University)

  • Yakup Kucukkale

    (Ondokuz Mayis University)

This 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.

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File URL: http://128.118.178.162/eps/mac/papers/0211/0211010.pdf
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Paper provided by EconWPA in its series Macroeconomics with number 0211010.

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Length: 11 pages
Date of creation: 18 Nov 2002
Date of revision:
Handle: RePEc:wpa:wuwpma:0211010
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://128.118.178.162

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  1. 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.
  2. 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.
  3. 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.
  4. 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.
  5. 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.
  6. 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.
  7. Barro, Robert J., 1978. "Unanticipated Money, Output, and the Price Level in the United States," Scholarly Articles 3450988, Harvard University Department of Economics.
  8. Robert J. Barro, 1976. "Unanticipated Money Growth and Unemployment in the United States," Working Papers 234, Queen's University, Department of Economics.
  9. 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.
  10. 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.
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