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THE CONTRIBUTION OF INFLATION UNCERTAINTY TO THE VARIABLE IMPACTS OF MONEY ON STOCK PRICES
Author(s) -
Wong Shee Q.
Publication year - 1986
Publication title -
journal of financial research
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.319
H-Index - 49
eISSN - 1475-6803
pISSN - 0270-2592
DOI - 10.1111/j.1475-6803.1986.tb00438.x
Subject(s) - economics , stock (firearms) , proxy (statistics) , inflation (cosmology) , monetary economics , econometrics , offset (computer science) , lag , macroeconomics , mathematics , statistics , theoretical physics , computer science , engineering , mechanical engineering , computer network , physics , programming language
This paper examines the effects of inflation uncertainty on the lag structure between money growth and stock prices. Using a varying parameter model and the Livingston survey data 1 as a proxy for inflation uncertainty, the results suggest that only current money growth influences stock prices. However, a large percentage of this positive impact can be expected to be offset by inflation uncertainty prevailing at the time.