£M3 surprises and asset prices

MacDonald, R. and Torrance, T.S. (1987) £M3 surprises and asset prices. Economica, 54(216), pp. 505-515. (doi:10.2307/2554184)

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Publisher's URL: http://www.jstor.org/stable/2554184

Abstract

In this paper the relationship between unanticipated sterling M3 (?M3) and a variety of asset prices is investigated for part of the UK's experience with monetary targeting. The unanticipated component of monetary growth is generated using Money Market Services (UK) survey data and an ARIMA model. It is demonstrated that the UK survey data are rational, in that they are an unbiased and efficient forecast, and that the market efficiently incorporates unanticipated money growth into asset prices. The sign of the unanticipated monetary component in our asset price equations tends to indicate that the Fisher (the inflation expectations) hypothesis is better supported during the sample period.

Item Type:Articles
Status:Published
Refereed:Yes
Glasgow Author(s) Enlighten ID:MacDonald, Professor Ronald
Authors: MacDonald, R., and Torrance, T.S.
College/School:College of Social Sciences > Adam Smith Business School > Economics
Journal Name:Economica
Publisher:Wiley-Blackwell Publishing Ltd.
ISSN:0013-0427
ISSN (Online):1468-0335

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