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Anticipated Money Growth and Stock Prices in Turkey

Author

Listed:
  • Rahmi Yamak

    (Karadeniz Technical University)

  • Yakup Kucukkale

    (Ondokuz Mayis University)

Abstract

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.

Suggested Citation

  • Rahmi Yamak & Yakup Kucukkale, 2002. "Anticipated Money Growth and Stock Prices in Turkey," Macroeconomics 0211010, EconWPA.
  • 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
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    File URL: http://econwpa.repec.org/eps/mac/papers/0211/0211010.pdf
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    References listed on IDEAS

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    1. 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 153-174, January.
    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 231-249, May.
    3. 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.
    4. Barro, Robert J, 1977. "Unanticipated Money Growth and Unemployment in the United States," American Economic Review, American Economic Association, vol. 67(2), pages 101-115, March.
    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. 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 549-580, August.
    7. Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-334, June.
    8. 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.
    9. 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.
    10. 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 1045-1066, December.
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    Cited by:

    1. 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.
    2. 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.

    More about this item

    Keywords

    anticipated unanticipated money growth stock prices sur shock;

    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

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