Anticipated Money Growth and Stock Prices in Turkey

Rahmi Yamak and Yakup Kucukkale ()

Macroeconomics from University Library of Munich, Germany

Abstract: This study investigates the validity of the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models that only unanticipated policy changes affect stock prices by using Turkish data over the period of 1986:1-1999:3. The procedure used to test the hypothesis is the autoregressive system introduced by McGee and Stasiak (1985). The empirical results reported in this paper imply that both anticipated and unanticipated monetary policy appears to play a significant expansionary impact upon stock prices. Such evidence for Turkey strongly rejects the policy ineffectiveness hypothesis of Rational Expectations-Natural Rate Models.

Keywords: anticipated; unanticipated; money; growth; stock; prices; sur; shock (search for similar items in EconPapers)
JEL-codes: E52 E58 (search for similar items in EconPapers)
Pages: 11 pages
Date: 2002-11-18
Note: Type of Document - Acrobat PDF; prepared on PC; to print on A4; pages: 11 ; figures: included. pdf document submitted via ftp
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpma:0211010

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