Causality tests of the United States weekly money supply and Asian-pacific stock markets

1992 ◽  
Vol 9 (2) ◽  
pp. 253-260
Author(s):  
Sui-Choi Mak ◽  
Daniel Wai-Wah Cheung
Keyword(s):  
United States ◽  
Money Supply ◽  
Stock Markets ◽  
The United States ◽  
Causality Tests ◽  
Asian Pacific

DO MONEY AND INTEREST RATES MATTER FOR STOCK PRICES? AN ECONOMETRIC STUDY OF SINGAPORE AND USA

2006 ◽  
Vol 51 (01) ◽  
pp. 31-51 ◽  
Author(s):  
WING-KEUNG WONG ◽  
HABIBULLAH KHAN ◽  
JUN DU
Keyword(s):  
United States ◽  
Interest Rate ◽  
Money Supply ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Asian Crisis ◽  
Macroeconomic Variables ◽  
Equilibrium Relationships ◽  
The Stability

This paper examines the long-term as well as short-term equilibrium relationships between the major stock indices and selected macroeconomic variables (such as money supply and interest rate) of Singapore and the United States by employing the advanced time series analysis techniques that include cointegration, Johansen multivariate cointegrated system, fractional cointegration and Granger causality. The cointegration results based on data covering the period January 1982 to December 2002 suggest that Singapore's stock prices generally display a long-run equilibrium relationship with interest rate and money supply (M1) but a similar relationship does not hold for the United States. To capture the short-run dynamics of the relationship, we replicate the same experiments with different subsets of data representing shorter time periods. It is evident that stock markets in Singapore moved in tandem with interest rate and money supply before the Asian Crisis of 1997, but this pattern was not observed after the crisis. In the United States, stock prices were strongly cointegrated with macroeconomic variables before the 1987 equity crisis but the relationships gradually weakened and totally disappeared with the emergence of Asian Crisis that also indirectly affected the United States. The results of fractional cointegration and the Johansen multivariate system are consistent with the earlier cointegration results that both Singapore and US stock markets did possess equilibrium relationships with M1 and interest rate at the early days. However, the stability of the systems was disturbed by a series of well-known financial turbulence in the past two decades and eventually weakened for Singapore and completely disappeared for the US. This may imply that monetary authority may take action to respond to the asset price turbulence in order to maintain the stability of monetary economy and thus break the existing equilibrium between stock markets and macroeconomic variables like interest rate and M1. Another possible explanation is that the market became more efficient after 1997 Asian crisis. Finally, the results of Granger causality tests uncover some systematic causal relationships, implying that stock market performance might be a good gauge for Central Bank's monetary policy adjustment.

Do Stock Markets Catch the Flu?

2013 ◽  
Vol 48 (3) ◽  
pp. 979-1000 ◽  
Author(s):  
Brian C. McTier ◽  
Yiuman Tse ◽  
John K. Wald
Keyword(s):  
United States ◽  
New York ◽  
New York City ◽  
Stock Markets ◽  
The United States ◽  
Trading Activity ◽  
Market Makers ◽  
International Data ◽  
The Impact ◽  
Bid Ask Spreads

AbstractWe examine the impact of influenza on stock markets. For the United States, a higher incidence of flu is associated with decreased trading, decreased volatility, decreased returns, and higher bid-ask spreads. Consistent with the flu affecting institutional investors and market makers, the decrease in trading activity and volatility is primarily driven by the incidence of influenza in the greater New York City area. However, the effect of the flu on bid-ask spreads and returns is related to the incidence of flu nationally. International data confirm our findings of a decrease in trading activity and returns when flu incidence is high.

Cuba: From “Dollarization” to “Euroization” or “Peso Reconsolidation”?

2002 ◽  
Vol 44 (2) ◽  
pp. 99-123
Author(s):  
Archibald R. M. Ritter ◽  
Nicholas Rowe
Keyword(s):  
United States ◽  
Exchange Rate ◽  
Money Supply ◽  
Economic Structure ◽  
The United States ◽  
Significant Component ◽  
Cuban Government ◽  
The U.S

AbstractSince its “depenalization” in 1993, the U.S. dollar has become possibly a more significant component of Cuba's money supply than the old peso. What are the alternatives? The euro seems inappropriate, given the inevitability of eventual normalization of relations with the United States. More advantageous would be to restore the Cuban peso, though this would involve unifying the bifurcated economic structure and the dual monetary and exchange rate systems. The Cuban government has yet to announce its plans. This study argues that an appropriate mix of exchange rate, monetary, fiscal, and income or wage and salary policies should support a rehabilitation of the Cuban peso.

scholarly journals Unknown Unknowns: Uncertainty About Risk and Stock Returns

2018 ◽  
Vol 53 (4) ◽  
pp. 1615-1651 ◽  
Author(s):  
Guido Baltussen ◽  
Sjoerd van Bekkum ◽  
Bart van der Grient
Keyword(s):  
United States ◽  
Stock Returns ◽  
Stock Prices ◽  
Stock Markets ◽  
The United States ◽  
Pricing Mechanism ◽  
European Stock Markets ◽  
Low Uncertainty ◽  
High Uncertainty

Stocks with high uncertainty about risk, as measured by the volatility of expected volatility (vol-of-vol), robustly underperform stocks with low uncertainty about risk by 8% per year. This vol-of-vol effect is distinct from (combinations of) at least 20 previously documented return predictors, survives many robustness checks, and holds in the United States and across European stock markets. We empirically explore the pricing mechanism behind the vol-of-vol effect. The evidence points toward preference-based explanations and away from alternative explanations. Collectively, our results show that uncertainty about risk is highly relevant for stock prices.

The Methodological Roots of J. Laurence Laughlin's Anti-quantity Theory of Money and Prices

1995 ◽  
Vol 17 (1) ◽  
pp. 1-20 ◽  
Author(s):  
Neil T. Skaggs
Keyword(s):  
United States ◽  
Money Supply ◽  
Federal Reserve ◽  
The United States ◽  
Federal Reserve System ◽  
Quantity Theory ◽  
Theoretical Support ◽  
The Creation ◽  
Reserve System

From the 1880s until after the creation of the Federal Reserve System in 1913 the United States was a hotbed of monetary controversy. The secular price deflation that began in 1865 prompted a host of efforts to increase the money supply, in the belief that more money would check the decline of prices. The agitation for free coinage of silver that arose in the 1870s and carried into the 1880s and 1890s generated a maelstrom of arguments and counterarguments. Such theoretical support as the “cheap money advocates” provided was in the form of a crude application of the quantity theory of money. Not surprisingly, using the quantity theory in such a manner brought the theory itself under fire.

Trends and presentation patterns of acute rheumatic fever hospitalisations in the United States

2019 ◽  
Vol 29 (11) ◽  
pp. 1387-1390
Author(s):  
Tyler Bradley-Hewitt ◽  
Chris T. Longenecker ◽  
Vuyisile Nkomo ◽  
Whitney Osborne ◽  
Craig Sable ◽  
...  
Keyword(s):  
United States ◽  
Length Of Stay ◽  
Rheumatic Fever ◽  
Private Insurance ◽  
Case Fatality ◽  
The United States ◽  
Hospital Charges ◽  
The South ◽  
Asian Pacific Islanders ◽  
Asian Pacific

AbstractObjective:Rheumatic fever, an immune sequela of untreated streptococcal infections, is an important contributor to global cardiovascular disease. The goal of this study was to describe trends, characteristics, and cost burden of children discharged from hospitals with a diagnosis of RF from 2000 to 2012 within the United States.Methods:Using the Kids’ Inpatient Database, we examined characteristics of children discharged from hospitals with the diagnosis of rheumatic fever over time including: overall hospitalisation rates, age, gender, race/ethnicity, regional differences, payer type, length of stay, and charges.Results:The estimated national cumulative incidence of rheumatic fever in the United States between 2000 and 2012 was 0.61 cases per 100,000 children. The median age was 10 years, with hospitalisations significantly more common among children aged 6–11 years. Rheumatic fever hospitalisations among Asian/Pacific Islanders were significantly over-represented. The proportion of rheumatic fever hospitalisations was greater in the Northeast and less in the South, although the highest number of rheumatic fever admissions occurred in the South. Expected payer type was more likely to be private insurance, and the median total hospital charges (adjusted for inflation to 2012 dollars) were $16,000 (interquartile range: $8900–31,200). Median length of stay was 3 days, and the case fatality ratio for RF in the United States was 0.4%.Conclusions:Rheumatic fever persists in the United States with an overall downwards trend between 2003 and 2012. Rheumatic fever admissions varied considerably based on age group, region, and origin.

Relationship between the United States housing and stock markets: Some evidence from wavelet analysis

2019 ◽  
Vol 50 ◽  
pp. 101033 ◽  
Author(s):  
Kim Hiang Liow ◽  
Yuting Huang ◽  
Jeonseop Song
Keyword(s):  
United States ◽  
Wavelet Analysis ◽  
Stock Markets ◽  
The United States

Dynamic Global Linkages of the BRICS Stock Markets with the United States and Europe Under External Crisis Shocks: Implications for Portfolio Risk Forecasting

World Economy ◽  
2016 ◽  
Vol 39 (11) ◽  
pp. 1703-1727 ◽  
Author(s):  
Shawkat Hammoudeh ◽  
Sang Hoon Kang ◽  
Walid Mensi ◽  
Duc Khuong Nguyen
Keyword(s):  
United States ◽  
Stock Markets ◽  
The United States ◽  
Portfolio Risk ◽  
Risk Forecasting ◽  
Global Linkages
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