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An investigation into the cyclical behaviour of output, money, stock prices and interest rates

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  • Imad Moosa

Abstract

This paper examines the cyclical behaviour of output, money, stock prices and interest rates using annual US data covering the period 1900-91. The cyclical components are extracted from a seemingly unrelated time series equations model. The cyclical relationships are subsequently assessed by examining the contemporaneous and lagged correlations. The results reveal that the cyclical relationships weakened in the post-war period.

Suggested Citation

  • Imad Moosa, 1998. "An investigation into the cyclical behaviour of output, money, stock prices and interest rates," Applied Economics Letters, Taylor & Francis Journals, vol. 5(4), pages 235-238.
    • Handle: RePEc:taf:apeclt:v:5:y:1998:i:4:p:235-238
    DOI: 10.1080/135048598354889
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    References listed on IDEAS

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    1. Milton Friedman & Anna J. Schwartz, 1963. "A Monetary History of the United States, 1867–1960," NBER Books, National Bureau of Economic Research, Inc, number frie63-1.
    2. A. G. Malliaris & Jorge L. Urrutia, 2005. "An empirical investigation among real, monetary and financial variables," World Scientific Book Chapters, in: Economic Uncertainty, Instabilities And Asset Bubbles Selected Essays, chapter 3, pages 13-20, World Scientific Publishing Co. Pte. Ltd..
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    Cited by:

    1. de Silva, Ashton, 2008. "Forecasting macroeconomic variables using a structural state space model," MPRA Paper 11060, University Library of Munich, Germany.
    2. Muhammad Ali Nasir & Junjie Wu & Milton Yago & Alaa M. Soliman, 2016. "Macroeconomic policy interaction: State dependency and implications for financial stability in UK: A systemic review," Cogent Business & Management, Taylor & Francis Journals, vol. 3(1), pages 1154283-115, December.

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