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An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns
16 references·2 citing·28 second hop
An Empirical Investigation of the Causal Relationship among Monetary Variables and Equity Market Returns (2009)An Empirical Investigation of the Causal …Oil and the Stock Markets (1996)Oil and the Stock MarketsTesting for a Unit Root (1993)Testing for a Unit RootDETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND (1992)DETERMINATION OF COINTEGRATIO…A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics1 (1992)A Note with Quantiles of the …Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Estimation and Hypothesis Tes…Co-integration and Error Correction: Representation, Estimation, and Testing (1991)Co-integration and Error Corr…MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY (1990)MAXIMUM LIKELIHOOD ESTIMATION…Testing for a Unit Root in Time Series Regression (1988)Testing for a Unit Root in Ti…Statistical analysis of cointegration vectors (1988)Statistical analysis of coint…Some recent development in a concept of causality (1988)Some recent development in a …Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Co-Integration and Error Corr…Economic Forces and the Stock Market (1986)Economic Forces and the Stock…Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Likelihood Ratio Statistics f…An Empirical Investigation of the Arbitrage Pricing Theory (1980)An Empirical Investigation of…Asset returns and inflation (1977)Asset returns and inflationThe arbitrage theory of capital asset pricing (1976)The arbitrage theory of capit…Decoding exchange rate in emerging economy: Financial and energy dynamics (2025)Decoding exchange rate in eme…ECONOMIC FORCES IN THE LONDON STOCK MARKET (1988)ECONOMIC FORCES IN THE LONDON…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)Risk, Return, and Equilibrium: Empirical Tests (1973)Industry costs of equity (1997)Time Series Analysis: Forecasting and Control (1977)Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Trends and random walks in macroeconmic time series (1982)Testing the null hypothesis of stationarity against the alternative of a unit root (1992)A simple panel unit root test in the presence of cross‐section dependence (2007)Investigating Causal Relations by Econometric Models and Cross-spectral Methods (1969)Time Series Analysis Forecasting and Control. (1971)Does financial development cause economic growth? Time-series evidence from 16 countries (1996)The long-run and causal analysis of energy, growth, openness and financial development on carbon emissions in Turkey (2012)Determinants of CO2 emissions in the European Union: The role of renewable and non-renewable energy (2016)Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)PANEL COINTEGRATION: ASYMPTOTIC AND FINITE SAMPLE PROPERTIES OF POOLED TIME SERIES TESTS WITH AN APPLICATION TO THE PPP HYPOTHESIS (2004)A Simple Estimator of Cointegrating Vectors in Higher Order Integrated Systems (1993)Likelihood-Based Inference in Cointegrated Vector Autoregressive Models (1995)Financial Intermediation and Delegated Monitoring (1984)The Cross-Section of Expected Stock Returns (1992)Common risk factors in the returns on stocks and bonds (1993)Bounds testing approaches to the analysis of level relationships (2001)Unit root tests in panel data: asymptotic and finite-sample properties (2002)
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References

  • 1987Co-Integration and Error Correction: Representation, Estimation, and Testing31,983 cited
  • 1988Testing for a Unit Root in Time Series Regression19,288 cited
  • 1988Statistical analysis of cointegration vectors17,038 cited
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  • 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY14,047 cited
  • 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models11,146 cited
  • 1976The arbitrage theory of capital asset pricing7,081 cited
  • 1986Economic Forces and the Stock Market5,258 cited
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  • 1977Asset returns and inflation2,701 cited
  • 1992A Note with Quantiles of the Asymptotic Distribution of the Maximum Likelihood Cointegration Rank Test Statistics12,570 cited
  • 1996Oil and the Stock Markets1,611 cited
  • 1980An Empirical Investigation of the Arbitrage Pricing Theory1,249 cited
  • 1992DETERMINATION OF COINTEGRATION RANK IN THE PRESENCE OF A LINEAR TREND1,011 cited
  • 1991Co-integration and Error Correction: Representation, Estimation, and Testing

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946 cited
  • 1993Testing for a Unit Root872 cited
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    • 1988ECONOMIC FORCES IN THE LONDON STOCK MARKET74 cited
    • 2025Decoding exchange rate in emerging economy: Financial and energy dynamics13 cited