Effect of money supply on the Dow Jones Industrial Average stock index

Martin Sirucek ()

MPRA Paper from University Library of Munich, Germany

Abstract: This focus of this paper are the eff ects and implications of a change in the money supply for share price indices in the USA during 1959–2011. The money supply will be measured by the M2 and MZM aggregates (money with zero maturity). The US stock market is represented by the Dow Jones Industrial Average index. The objective of this paper is to fi nd, describe and evaluate the eff ects of changes to the money supply (M2 and MZM) on the US stock market. A partial objective of this paper is to determine whether a change in the monetary aggregate shows in the stock index immediately or with a delay of several weeks. Another aim is to determine whether asset prices infl uence the money supply.

Keywords: money supply; stock market; correlation; Dickey-Fuller test; Granger causality (search for similar items in EconPapers)
JEL-codes: E52 G10 (search for similar items in EconPapers)
Date: 2012, Revised 2012
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Published in Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis 60.2(2012): pp. 399-407

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Journal Article: Effect of money supply on the Dow Jones Industrial Average stock index (2012)
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