{"id":"https://openalex.org/W1508364936","doi":"https://doi.org/10.34989/swp-2006-39","title":"Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices","display_name":"Short-Run and Long-Run Causality between Monetary Policy Variables and Stock Prices","publication_year":2021,"publication_date":"2021-03-16","ids":{"openalex":"https://openalex.org/W1508364936","doi":"https://doi.org/10.34989/swp-2006-39","mag":"1508364936"},"language":"en","primary_location":{"id":"mag:1508364936","doi":null,"is_oa":false,"landing_page_url":"http://economics.ca/2006/papers/0424.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},"volume":null,"type":"preprint","indexed_in":["datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.34989/swp-2006-39","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5111402224","display_name":"Jean\u2010Marie Dufour","orcid":"https://orcid.org/0000-0002-7731-2278","observed_orcids":["https://orcid.org/0000-0002-7731-2278"]},"institutions":[{"id":"https://openalex.org/I70931966","display_name":"Universit\u00e9 de Montr\u00e9al","ror":"https://ror.org/0161xgx34","country_code":"CA","type":"education","lineage":["https://openalex.org/I70931966"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Dufour, Jean-Marie","raw_affiliation_strings":["UNIVERSITE DE MONTREAL"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"UNIVERSITE DE MONTREAL","institution_ids":["https://openalex.org/I70931966"]}]},{"author_position":"last","author":{"id":null,"display_name":"Tessier, David","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I898769471","display_name":"Bank of Canada","ror":"https://ror.org/05cc98565","country_code":"CA","type":"other","lineage":["https://openalex.org/I898769471"]}],"countries":["CA"],"is_corresponding":false,"raw_author_name":"Tessier, David","raw_affiliation_strings":["#N#Bank of Canada#N#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"#N#Bank of Canada#N#","institution_ids":["https://openalex.org/I898769471"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":null,"has_fulltext":false,"cited_by_count":14,"citation_normalized_percentile":null,"cited_by_percentile_year":null,"biblio":{"volume":null,"issue":null,"first_page":null,"last_page":null},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9945999979972839,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11059","display_name":"Market Dynamics and Volatility","score":0.00279999990016222,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0020000000949949026,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monetary-policy","display_name":"monetary policy","score":0.7739999890327454},{"id":"https://openalex.org/keywords/stock-returns","display_name":"stock returns","score":0.9279999732971191},{"id":"https://openalex.org/keywords/granger-causality","display_name":"Granger causality","score":0.9160000085830688},{"id":"https://openalex.org/keywords/monetary-aggregates","display_name":"monetary aggregates","score":0.8289999961853027},{"id":"https://openalex.org/keywords/m1-money-supply","display_name":"M1 money supply","score":0.7689999938011169},{"id":"https://openalex.org/keywords/inflation-targeting","display_name":"inflation targeting","score":0.8339999914169312},{"id":"https://openalex.org/keywords/taylor-rule","display_name":"Taylor rule","score":0.8669999837875366},{"id":"https://openalex.org/keywords/phillips-curve","display_name":"Phillips curve","score":0.996999979019165},{"id":"https://openalex.org/keywords/interest-rates","display_name":"interest rates","score":0.746999979019165},{"id":"https://openalex.org/keywords/output-growth","display_name":"output growth","score":0.7940000295639038},{"id":"https://openalex.org/keywords/inflation-forecasting","display_name":"inflation forecasting","score":0.7149999737739563},{"id":"https://openalex.org/keywords/seasonal-adjustment","display_name":"seasonal adjustment","score":0.6000000238418579},{"id":"https://openalex.org/keywords/united-states","display_name":"United States","score":0.8769999742507935},{"id":"https://openalex.org/keywords/canada","display_name":"Canada","score":1.0}],"concepts":[{"id":"https://openalex.org/C204208750","wikidata":"https://www.wikidata.org/wiki/Q1519415","display_name":"Short run","level":2,"score":0.8196136355400085},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.672616720199585},{"id":"https://openalex.org/C126285488","wikidata":"https://www.wikidata.org/wiki/Q178476","display_name":"Monetary policy","level":2,"score":0.6441109776496887},{"id":"https://openalex.org/C204036174","wikidata":"https://www.wikidata.org/wiki/Q909380","display_name":"Stock (firearms)","level":2,"score":0.6337044835090637},{"id":"https://openalex.org/C556758197","wikidata":"https://www.wikidata.org/wiki/Q580018","display_name":"Monetary economics","level":1,"score":0.6032899618148804},{"id":"https://openalex.org/C64357122","wikidata":"https://www.wikidata.org/wiki/Q1149766","display_name":"Causality (physics)","level":2,"score":0.5012774467468262},{"id":"https://openalex.org/C129824826","wikidata":"https://www.wikidata.org/wiki/Q2630107","display_name":"Granger causality","level":2,"score":0.461095929145813},{"id":"https://openalex.org/C145162277","wikidata":"https://www.wikidata.org/wiki/Q1751675","display_name":"Cointegration","level":2,"score":0.4210507571697235},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.37329959869384766},{"id":"https://openalex.org/C139719470","wikidata":"https://www.wikidata.org/wiki/Q39680","display_name":"Macroeconomics","level":1,"score":0.36286360025405884},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.06887075304985046},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C166957645","wikidata":"https://www.wikidata.org/wiki/Q23498","display_name":"Archaeology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"mag:1508364936","doi":null,"is_oa":false,"landing_page_url":"http://economics.ca/2006/papers/0424.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:bca:bocawp:06-39","doi":null,"is_oa":false,"landing_page_url":"https://doi.org/10.34989/swp-2006-39","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.34989/swp-2006-39","doi":"https://doi.org/10.34989/swp-2006-39","is_oa":true,"landing_page_url":"https://doi.org/10.34989/swp-2006-39","pdf_url":null,"source":{"id":"https://openalex.org/S7407050688","display_name":"Bank of Canada Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I898769471","host_organization_name":"Bank of Canada","host_organization_lineage":["https://openalex.org/I898769471"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"}],"best_oa_location":{"id":"doi:10.34989/swp-2006-39","doi":"https://doi.org/10.34989/swp-2006-39","is_oa":true,"landing_page_url":"https://doi.org/10.34989/swp-2006-39","pdf_url":null,"source":{"id":"https://openalex.org/S7407050688","display_name":"Bank of Canada Research","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I898769471","host_organization_name":"Bank of Canada","host_organization_lineage":["https://openalex.org/I898769471"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article-journal"},"sustainable_development_goals":[],"sustainable_development_goals_aurora":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":18,"referenced_works":["https://openalex.org/W1501350708","https://openalex.org/W1580142708","https://openalex.org/W2003498865","https://openalex.org/W2019459021","https://openalex.org/W2058714022","https://openalex.org/W2072643767","https://openalex.org/W2088515074","https://openalex.org/W2098118263","https://openalex.org/W2116393040","https://openalex.org/W2123871236","https://openalex.org/W2149862193","https://openalex.org/W2153710515","https://openalex.org/W2178225550","https://openalex.org/W3121414470","https://openalex.org/W3122333375","https://openalex.org/W3123823245","https://openalex.org/W3124230684","https://openalex.org/W3124426352"],"related_works":["https://openalex.org/W3128221419","https://openalex.org/W7098139875","https://openalex.org/W2299588525","https://openalex.org/W1966402432","https://openalex.org/W7099057285","https://openalex.org/W6980457433","https://openalex.org/W1585964299","https://openalex.org/W1970796602","https://openalex.org/W7097435524","https://openalex.org/W2290015735"],"abstract_inverted_index":{"The":[0,196,233],"authors":[1,95,114,234,285,310],"examine":[2,96],"simultaneously":[3],"the":[4,20,23,35,62,69,94,97,101,110,113,126,155,184,191,201,207,211,216,220,223,228,271,284,294,298,306,309,318],"causal":[5,276],"links":[6],"connecting":[7],"monetary":[8,38,70,164,187,266],"policy":[9,71],"variables,":[10,139,252],"real":[11],"activity,":[12],"and":[13,106,173,214,257,281,297,305],"stock":[14,119,132,152],"returns.":[15,153],"Their":[16],"interest":[17,60,224,254,272],"lies":[18],"in":[19,61,104,145,151,219,291],"fact":[21],"that":[22,163,236,312],"dynamics":[24],"of":[25,33,37,46,50,58,64,125,186,222,248,265,293],"asset":[26,41,243],"prices":[27,42,174,244],"can":[28,315],"provide":[29],"key":[30],"insights\u2014in":[31],"terms":[32],"information\u2014for":[34],"conduct":[36],"policy,":[39],"since":[40],"constitute":[43],"a":[44,122,239,246],"class":[45],"potentially":[47],"leading":[48,123],"indicators":[49],"either":[51],"economic":[52],"activity":[53],"or":[54,130],"inflation.":[55,282],"This":[56],"is":[57,73,179,204,238],"particular":[59],"context":[63],"an":[65],"inflation-targeting":[66],"regime,":[67],"where":[68],"stance":[72],"set":[74],"according":[75],"to":[76,148,161,182,269],"inflation":[77,212],"forecasts.":[78],"While":[79],"most":[80],"empirical":[81,157],"studies":[82],"on":[83,190],"causality":[84,98,194,197,320],"have":[85,167],"examined":[86],"this":[87],"issue":[88],"using":[89],"Granger's":[90],"(1969)":[91],"original":[92],"definition,":[93],"relations":[99],"through":[100],"generalization":[102],"proposed":[103],"Dufour":[105],"Renault":[107],"(1998).":[108],"For":[109,226],"United":[111,307],"States,":[112,308],"find":[115,288],"no":[116],"support":[117],"for":[118,131,141,171,242,278,302],"returns":[120,133],"as":[121,245,274],"indicator":[124],"macroeconomic":[127,138,251],"variables":[128,277],"considered,":[129],"being":[134],"influenced":[135],"by":[136,200],"those":[137],"except":[140],"one":[142],"case:":[143],"fluctuations":[144,150],"M1":[146],"tend":[147,268],"anticipate":[149],"Furthermore,":[154,262],"authors'":[156,202],"methodology":[158],"allows":[159],"them":[160],"infer":[162],"aggregates":[165,188,267],"may":[166],"significant":[168],"predictive":[169],"power":[170],"income":[172],"at":[175,259],"longer":[176],"horizons.":[177,261],"It":[178],"therefore":[180],"incorrect":[181],"dismiss":[183],"importance":[185],"based":[189],"usual":[192],"Granger":[193],"criteria.":[195],"pattern":[198],"inferred":[199,319],"procedure":[203],"consistent":[205],"with":[206,215],"Phillips":[208,295],"curve":[209,296],"(for":[210],"dynamics)":[213],"Taylor":[217,299],"rule":[218],"case":[221],"rate.":[225],"Canada,":[227],"results":[229],"are":[230],"much":[231],"different.":[232],"show":[235,311],"there":[237],"potential":[240],"role":[241],"predictor":[247],"some":[249,263],"important":[250],"namely":[253],"rates,":[255],"inflation,":[256],"output":[258,279],"policy-relevant":[260],"measures":[264],"dominate":[270],"rate":[273],"robust":[275],"growth":[280],"However,":[283],"do":[286],"not":[287],"strong":[289],"evidence":[290],"favour":[292],"rule.":[300],"Finally,":[301],"both":[303],"Canada":[304],"seasonal":[313],"adjustments":[314],"highly":[316],"distort":[317],"structure.":[321]},"counts_by_year":[{"year":2021,"cited_by_count":3},{"year":2016,"cited_by_count":4},{"year":2014,"cited_by_count":2},{"year":2012,"cited_by_count":1}],"updated_date":"2026-09-29T14:09:16.559479","created_date":"2016-06-24T00:00:00"}
