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

Sirucek, Martin (2012): Effect of money supply on the Dow Jones Industrial Average stock index. Published in: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis , Vol. 2, No. 60 (2012): pp. 399-407.

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.

• Item Type: MPRA Paper
• Language: English
• Keywords: money supply, stock market, correlation, Dickey-Fuller test, Granger causality
• Subjects: E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy; G - Financial Economics > G1 - General Financial Markets > G10 - General

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