The present paper analyzes the stock prices - money supply interactions in a five-variable framework, which includes, in addition to the two focal variables, real industrial production, aggregate price level, and exchange rate. The dynamic interactions among the variables are based on variance...

This paper documents data-oriented, detailed evidence on the international transmission of U.S. monetary policy shocks for the flexible exchange rate period using VAR models. First, U.S. expansionary monetary policy shocks lead to booms in the non-US, G-6 countries. In this transmission, changes...

A variable is defined to be self-generating if it can be forecast efficiently from its own past only. Conditions are derived for certain linear combinations to be self-generating in error correction models. Interestingly, there are only two candidates for self-generation in an error correction...