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MONETARY AND FISCAL POLICIES AND STOCK PRICES
Author(s) -
Singh Saraswati P.,
Talwar Prem P.
Publication year - 1982
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1982.tb00974.x
Subject(s) - bivariate analysis , economics , money supply , stock (firearms) , autoregressive model , econometrics , stock market , multivariate statistics , cointegration , financial economics , monetary policy , monetary economics , mathematics , statistics , mechanical engineering , paleontology , horse , biology , engineering
Investigations into business cycles have found money supply to be a lead variable to stock prices. However, some would argue that the stock market, being efficient, anticipates money supply changes and therefore, stock prices are lead variables to money supply changes. Recent developments in time series methods have facilitated the testing of these relationships through identifying bivariate and multivariate autoregressive models. However, in many cases, the results using different procedures contradict themselves and are in conflict with theoretical reasonings. In this paper the causal relationship is tested between fiscal and monetary policies and stock prices using Canadian data and bivariate andmultivariate autoregressive models.