418
Views
5
CrossRef citations to date
0
Altmetric
Original Articles

Money supply endogeneity and bank stock returns

, &
Pages 1035-1048 | Published online: 03 May 2011

References

  • Alves Jr , AJ , Dymski , GA and de Paula , L-F . 2004 . Interrelated bank strategies financial fragility and credit expansion: a post Keynesian approach, in Proceedings of the 32nd Brazilian Economics Meeting, Brazilian Association of Graduate Programs in Economics, João Pessoa, PB
  • Arestis , P . 1987 . The credit segment of a UK post Keynesian model . Journal of Post Keynesian Economics , 10 : 250 – 69 .
  • Ariff, M., and Lamba, A. (2007) The valuation effects of prime rate revisions: is there an advantage of being first?, International Review of Finance, 6, 177–94.
  • Badarudin , ZE , Ariff , M and Khalid , AM . 2009 . Money supply behavior in emerging economies: a comparative analysis . Journal of the Asia Pacific Economy , 14 : 331 – 50 .
  • Cornell , B . 1983 . The money supply announcements puzzle: review and interpretation . American Economic Review , 73 : 644 – 57 .
  • Davidson , R and MacKinnon , JG . 1993 . Estimation and Inference in Econometrics , New York : Oxford University Press .
  • Dhakal , D , Kandil , M and Sharma , SC . 1993 . Causality between the money supply and share prices: a VAR investigation . Quarterly Journal of Business and Economics , 32 : 52 – 74 .
  • Dymski , GA . 1988 . A Keynesian theory of bank behavior . Journal of Post Keynesian Economics , 10 : 499 – 526 .
  • Flannery , MJ and James , CM . 1984 . The effect of interest rate changes on the common stock returns of financial institutions . Journal of Finance , 39 : 1141 – 53 .
  • Flannery , MJ and Protopapadakis , AA . 2002 . Macroeconomic factors do influence aggregate stock returns . The Review of Financial Studies , 15 : 751 – 82 .
  • Fontana , G . 2003 . Post Keynesian approaches to endogenous money: a time framework explanation . Review of Political Economy , 15 : 291 – 314 .
  • Foster , J . 1992 . The determinants of sterling M3, 1963–88: an evolutionary macroeconomic approach . The Economic Journal , 102 : 481 – 96 .
  • Foster , J . 1994 . An evolutionary macroeconomic model of Australian dollar M3 determination: 1967–93 . Applied Economics , 26 : 1109 – 20 .
  • Gordon , MJ . 1962 . The Investment, Financing, and Valuation of the Corporation , Homewood : R.D. Irwin .
  • Granger , CWJ . 1969 . Investigating causal relationship by econometric models and cross section special methods . Econometrica , 37 : 425 – 35 .
  • Granger, C. W. J. (1988) Some recent developments in a concept of causality, Journal of Econometrics, 39, 199–211
  • Hamburger , MJ and Kochin , LA . 1972 . Money and stock prices: the channels of influence . Journal of Finance , 72 : 231 – 49 .
  • Hardouvelis , GA . 1987 . Macroeconomic information and stock prices . Journal of Economics and Business , 39 : 131 – 40 .
  • Hashemzadeh , N and Taylor , P . 1988 . Stock prices, money supply, and interest rates: the question of causality . Applied Economics , 20 : 1603 – 11 .
  • Holtemoller , O . 2003 . Money stock, monetary base and bank behavior in Germany . Jahrbücher für Nationalökonomie and Statistik , 223 : 257 – 78 .
  • Homa , KE and Jaffee , DM . 1971 . The supply of money and common stock prices . Journal of Finance , 26 : 1045 – 66 .
  • Howells , PGA and Hussein , K . 1998 . The endogeneity of money: evidence from the G7 . Scottish Journal of Political Economy , 45 : 329 – 40 .
  • Huang , Z . 2003 . Evidence of a bank lending channel in the UK . Journal of Banking and Finance , 27 : 491 – 510 .
  • Johansen , S . 1988 . Statistical analysis of cointegration vectors . Journal of Economic Dynamics and Control , 12 : 231 – 54 .
  • Johansen , S and Juselius , K . 1990 . Maximum likelihood estimation and inference on cointegration – with application to the demand for money . Oxford Bulletin of Economics and Statistics , 52 : 169 – 210 .
  • Keran , MW . 1971 . Expectations, money and the stock market . Federal Reserve Bank of St. Louis Review , January : 16 – 31 .
  • MacKinnon , JG , Haug , AA and Michelis , L . 1999 . Numerical distribution functions of likelihood ratio tests for cointegration . Journal of Applied Econometrics , 14 : 563 – 77 .
  • Mazharul , HK . 2008 . Stock market price movements and macroeconomic variables . International Review of Business Research Papers, , 4 : 114 – 26 .
  • Moore , BJ . 1989 . The endogeneity of credit money . Review of Political Economy , 1 : 64 – 93 .
  • Moore , BJ . 1998 . Acommodation to accommodationism: a note . Journal of Post Keynesian Economics , 21 : 175 – 8 .
  • Mukherjee , TK and Naka , A . 1995 . Dynamic relations between macroeconomic variables and the Japanese stock market: an application of a vector error correction model . Journal of Financial Research , 18 : 223 – 37 .
  • Nell , KS . 2000 . The endogenous/exogenous nature of South Africa's money supply under direct and indirect monetary control measures . Journal of Post Keynesian Economics , 23 : 313 – 29 .
  • Palley , TI . 1994 . Competing views of the money supply: theory and evidence . Metroeconomica , 45 : 67 – 88 .
  • Pearce , DK and Roley , VV . 1985 . Stock prices and economic news . Journal of Business , 58 : 49 – 67 .
  • Phillips , PCB and Perron , P . 1988 . Testing for a unit root in time series regression . Biometrika , 75 : 335 – 46 .
  • Ratanapakorn , O and Sharma , SC . 2007 . Dynamic analysis between the US stock returns and the macroeconomic variables . Applied Financial Economics , 17 : 369 – 77 .
  • Rochon , L-P . 2006 . “ Endogenous money, central banks and the banking system: Basil Moore and the supply of credit ” . In Complexity, Endogenous Money and Macroeconomic Theory , Edited by: Setterfield , M . 220 – 43 . Cheltenham, , UK : Edward Elgar .
  • Rogalski , RJ and Vinso , JD . 1977 . Stock returns, money supply and the direction of causality . Journal of Finance , 32 : 1027 – 30 .
  • Romer , CD and Romer , DH . 1990 . New evidence on monetary transmission mechanism . Brookings Papers on Economic Activity , 1 : 149 – 213 .
  • Shanmugam , B , Nair , M and Li , OW . 2003 . The endogenous money hypothesis: empirical evidence from Malaysia . Journal of Post Keynesian Economics , 25 : 599 – 611 .
  • Thiessen , G . 1998 . The Canadian Experience with Targets for Inflation Control, The Gibson Lecture , Kingston, Ontario : Bank of Canada, Queen's University .
  • Vera , AP . 2001 . The endogenous money hypothesis: some evidence from Spain (1987–1998) . Journal of Post Keynesian Economics , 23 : 509 – 26 .
  • Vymyatnina , Y . 2006 . How much control does Bank of Russia have over money supply? . Research in International Business and Finance , 20 : 131 – 44 .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.