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Money supply, interest rate, liquidity and share prices: a test of their linkage

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dc.contributor.authorAriff, Mohamed
dc.contributor.authorTin-fah, Chung
dc.contributor.authorShamsher Mohamad Ramadili Mohd
dc.date.accessioned2016-06-06
dc.date.accessioned2016-07-25T20:05:49Z
dc.date.available2016-06-06
dc.date.available2016-07-25T20:05:49Z
dc.date.disclosure2016-06-10
dc.date.issued2012
dc.description.abstractThe money supply impacts on interest rate and liquidity were first proposed in 1961 by Friedman, the late Nobel laureate. The liquidity effect has yet received unanimous empirical support. Also, research interest on liquidity subsided in the 2000s. Using quarterly data over 1960–2011 and simultaneous solution to a system of equations, this paper reports positive liquidity effect from money supply. By extending the system of equations with a liquidity equation and after controlling the effect of earnings, evidence is found of a significant positive effect from liquidity on share prices. Money supply is found to be endogenous as in post Keynesian theory. These findings, obtained after solutions to several econometric deficiencies in prior studies, provide clear verification of the endogenous money supply theory, money effect on liquidity and on the extension of the model for a liquidity effect on asset prices.
dc.identifier.citationAriff, Mohamed and Tin-fah, Chung and Ramadili Mohd, Shamsher Mohamad. (2012). Money supply, interest rate, liquidity and share prices: a test of their linkage. Global Finance Journal, 23 (3), pp. 202–220.
dc.identifier.doihttps://doi.org/10.1016/j.gfj.2012.10.005
dc.identifier.urihttps://ikr.inceif.org/handle/INCEIF/1434
dc.languageEnglish
dc.language.isoen
dc.publisherElsevier
dc.rights2012. Elsevier
dc.sourceCRP
dc.subjectLiquidity
dc.subjectSystem of equations
dc.subjectCausality test
dc.subjectShare prices
dc.subjectGlobal financial crisis
dc.subjectMonetary regimes
dc.titleMoney supply, interest rate, liquidity and share prices: a test of their linkage
dc.typeJournal Article
dlc.maintopicConventional finance
dlc.subtopicEconomics
dspace.entity.typePublication
ikr.doctypeScholarly Works
ikr.docurlhttp://www.sciencedirect.com/science/article/pii/S1044028312000361
ikr.topic.maintopicConventional finance
ikr.topic.subtopicConventional finance
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relation.isAuthorOfPublication.latestForDiscovery33b91dde-0170-454c-8f2b-ec4b208837b9
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