Money, output and stock prices in the UK: evidence on some (non)relationships
- 1 December 1993
- journal article
- research article
- Published by Taylor & Francis in Applied Financial Economics
- Vol. 3 (4) , 335-338
- https://doi.org/10.1080/758534946
Abstract
The methodology of Granger's causality is used to investigate lead-lag relationships among the money supply, real output and stock prices in the UK. The results suggest that (i) stock prices tend to lead the MS money supply, (ii) the monetary base tends to lead real GDP, (iii) stock prices tend to lead real GDP, (iv) there are feedback effects between money supply volatility and stock price volatility, (v) real GDP volatility tends to lead stock price volatility and (vi) that real GDP volatility leads the money supply.Keywords
This publication has 13 references indexed in Scilit:
- Understanding Real Business CyclesJournal of Economic Perspectives, 1989
- Co-Integration and Error Correction: Representation, Estimation, and TestingEconometrica, 1987
- Comparing alternative tests of causality in temporal systemsJournal of Econometrics, 1983
- Small Sample Properties of Three Tests for Granger-Causal Ordering in a Bivariate Stochastic SystemThe Review of Economics and Statistics, 1982
- Unanticipated Money, Output, and the Price Level in the United StatesJournal of Political Economy, 1978
- Efficient Capital Markets and the Quantity Theory of MoneyThe Journal of Finance, 1974
- Money and Stock Prices: The Channels of InfluencesThe Journal of Finance, 1972
- The Supply of Money and Common Stock PricesThe Journal of Finance, 1971
- Money Supply, Portfolio Adjustments and Stock PricesCFA Magazine, 1970
- Money and Business CyclesThe Review of Economics and Statistics, 1963