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How financial markets process money information: A re-examination of evidence using band spectrum regression

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  • Erol, Umit
  • Balkan, Erol M.

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  • Erol, Umit & Balkan, Erol M., 1996. "How financial markets process money information: A re-examination of evidence using band spectrum regression," Journal of Macroeconomics, Elsevier, vol. 18(4), pages 639-656.
    • Handle: RePEc:eee:jmacro:v:18:y:1996:i:4:p:639-656
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    1. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    2. R. Alton Gilbert, 1985. "Operating procedures for conducting monetary policy," Review, Federal Reserve Bank of St. Louis, vol. 67(Feb).
    3. Summers, Lawrence H., 1986. "Estimating the long-run relationship between interest rates and inflation: A response to McCallum," Journal of Monetary Economics, Elsevier, vol. 18(1), pages 77-86, July.
    4. Girton, Lance & Nattress, Dayle, 1985. "Monetary Innovations and Interest Rates," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(3), pages 289-297, August.
    5. Engle, Robert F, 1974. "Band Spectrum Regression," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 15(1), pages 1-11, February.
    6. McCallum, Bennett T., 1984. "On low-frequency estimates of long-run relationships in macroeconomics," Journal of Monetary Economics, Elsevier, vol. 14(1), pages 3-14, July.
    7. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    8. Cornell, Bradford, 1983. "The Money Supply Announcements Puzzle: Review and Interpretation," American Economic Review, American Economic Association, vol. 73(4), pages 644-657, September.
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    Cited by:

    1. Zhang, Dingxuan & Sun, Yuying & Duan, Hongbo & Hong, Yongmiao & Wang, Shouyang, 2023. "Speculation or currency? Multi-scale analysis of cryptocurrencies—The case of Bitcoin," International Review of Financial Analysis, Elsevier, vol. 88(C).
    2. Fabio Busetti & Michele Caivano, 2017. "Low frequency drivers of the real interest rate: a band spectrum regression approach," Temi di discussione (Economic working papers) 1132, Bank of Italy, Economic Research and International Relations Area.

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