Macroeconomic indicators are amongst the most important and used tools for investors as they provide an outlook for the economy and thus improve the assessment of investments e.g. for asset allocation. The purpose of this thesis is to investigate the short- and long-run relationship between the US stock market index S&P500 and six selected macroeconomic indicators during different time regimes during 2000-2016. The chosen indicators are Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index and the ISM Manufacturing index as they measure different parts of the economy and are commonly used by investors. We achieve the purpose by using the Autoregressive Distributed Lags model (ARDL) as it has several advantages in relation to comparable time series models. The results show that all indicators except Personal spending are significant in the long-run on the 1-percent level, in at least one time-regime. All indicators have significant results also in the short-run except the Money Supply (M1), depending on which time period that is under investigation. Our conclusion is that our chosen indicators have different characteristics depending on the current dynamics of the stock market, economic state and other related markets. The practical implication for investors is that different indicators are of limited use depending on the current market dynamics and investors must evaluate the underlying premises of the development of the indicator rather than interpreting a specific datapoint. / Makroekonomiska indikatorer är bland de mest viktiga och använda verktygen av investerare eftersom man kan få en överblick av den ekonomiska utvecklingen och således förbättra beslutsunderlaget vid till exempel tillgångsallokering. Syftet med denna avhandling är att undersöka de kort- och långsiktiga förhållandena mellan det amerikanska aktiemarknadsindexet S&P500 och sex utvalda makroekonomiska indikatorer under olika tidsperioder mellan 2000-2016. De valda indikatorerna är Personal spending, Initial jobless claims, M1 Money supply, Building permits, Michigan Consumers Sentiment index och ISM Manufacturing index eftersom de mäter olika delar av ekonomin och används kontinuerligt av investerare. Vi uppnår syftet genom att använda en Autoregressive Distributed Lags (ARDL) modell då den har flertalet fördelar i förhållande till jämförbara tidsseriemodeller. Resultaten visar att alla indikatorer utom Personal spending är signifikant på lång sikt på enprocentsnivån, över olika tidsperioder. Alla indikatorer har även signifikanta resultat på kort sikt förutom M1 Money supply, beroende på vilken tidsperiod som studeras. Vår slutsats är att dem valda indikatorerna har olika egenskaper beroende på den aktuella dynamiken i aktiemarknaden, ekonomin eller andra relaterade marknader. Den praktiska konsekvensen för investerare är att eftersom olika indikatorer är av begränsad användning beroende på den rådande marknadsdynamiken, måste investeraren noggrant utvärdera de underliggande villkoren för utvecklingen av en unik indikator snarare än att endast tolka en unik datapunkt.

This study empirically examines the impact of monetary policy on economic growth in three East African countries (Uganda, Kenya and Tanzania). The role of monetary policy in promoting economic growth remains empirically an open research question, as both the empirical and theoretical underpinnings are not universal, and the results remain varying, inconsistent, and inconclusive. This study may be the first of its kind to examine in detail the impact of monetary policy on economic growth in Uganda, Kenya and Tanzania – using the autoregressive distributed lag (ARDL) bounds-testing approach. This study used two proxies of monetary policy, namely, money supply and interest rate, to examine this linkage. The results were found to differ from country to country and over time. The Uganda empirical results reveal that money supply has a positive impact on economic growth, both in the short run and in the long run. However, interest rate was found to have a positive impact on economic growth only in the short run. In the long run, interest rate has no significant impact on economic growth. In Kenya, both short-run and long-run empirical results support monetary policy neutrality, implying that monetary policy has no effect on economic growth – both in the short run and in the long run. The results from Tanzania also reveal no impact of monetary policy on economic growth in the long run – irrespective of the proxy used to measure monetary policy. However, the short-run results only reveal no impact of monetary policy on economic growth only when the interest rate is used as a proxy for monetary policy. When money supply is used to measure monetary policy, a negative relationship between monetary policy and economic growth is found to dominate. Overall, the study finds that monetary policy is only relevant for economic growth in Uganda and only when money supply is used as monetary policy variable. Therefore this study recommends a money supply based monetary policy framework for Uganda. The study findings also suggest that monetary policy may not be a panacea for economic growth in Kenya and Tanzania. / Economics / M. Com. (Economics)

The empirical results reached in this thesis contradict the traditional theoretical view of money as being exogenously introduced into an economy as a medium of exchange intended to reduce the transactions costs associated with barter. Instead money was endogenously created in the form of credit. Thus, the long run neutrality of money also is called into question. The varying quality of different kinds of money reflects the demand for them. If legal tender was of higher quality than private promissary notes, it was because the former were in greater demand. Concisely put, the market determines the value, and therefore the quality, of various kinds of money. The principal problem addressed in this thesis is how, during the expansive nineteenth century, it was possible to satisfy the ever growing need for credit and means of payment without sacrificing the fixed exchange rate. Particular attention is paid to the private note issuing banks, the so called Enskilda banks, that dominated the Swedish banking system throughout the nineteenth century. In addition to their note issuing, the Enskilda banks were characterized by unlimited owner liability. An examination of the ongoing political process from a rational choice perspective, indicates that initially the concept of note issuing Enskilda banks enjoyed wide spread support. They were considered to be a reasonable response to the problem of establishing a commercial banking system in an illiquid economy. The distribution of political and economic power in favor of the Crown and the Nobility included their control over the issuance of bank charters. The monopolistic policy they followed in this regard, however, resulted in growing hostility towards these. As a result, starting in the middle 1860's, a more liberal attitude towards the establishment of banks began to prevail. By the end of the nineteenth century, various political interest were able to engineer the revocation of the Enskilda banks’ note issuing rights. The special characteristics of the Enskilda banks, the right to issue bank notes and the unlimited liability of their owners, have caused them to be perceived as outdated, at least once Joint Stock banks were introduced. In contrast to the Enskilda banks, these were unable to issue notes but instead provided their owners with limited liability. The thesis demonstrates that, given the initial illiquidity of the Swedish economy, the Enskilda banks actually were the more efficient alternative. Indeed, the note issuing privileges of the Enskilda banks became one of the principal factors behind the development of liquid domestic capital markets. An empirical study that includes the most basic constraints faced by the nineteenth century Swedish economy, the demands of the specie standard and the general shortages of reliable means of payment and of credit, reveals that the Enskilda bank system can not, strictly speaking, be considered an example of free banking. Instead of holding specie reserves, the Enskilda banks backed their notes with central bank (Riksbank) notes. This was not because the public preferred Enskilda bank to Riksbank notes.  Rather it was the result of a monetary adverse selection process; Gresham’s Law.  Previously utilized, lower quality, means of payment were replaced by Enskilda bank notes. By accepting some of the discount costs, the Enskilda banks made their notes circulate at par with Riksbank notes. Thus a domestic specie exchange system was created. The note issuance of the Enskilda banks paved the way for the deposit based commercial banking system that followed, and it was essential for the monetization of the economy that occurred during the late 1860's. The long run expansion of the money supply was unrelated to growth in Riksbank reserves, specie holdings or the monetary base. Other countries operating under the specie standard also experienced monetary growth, indicating that the specie standard actually was a system of credit. Money supply, as measured in terms of Riksbank and Enskilda bank notes held by the public, eventually reflected the level of output (GDP).  VAR-tests indicated that annual changes in the level of Riksbank reserves preceded changes in the money supply which, in turn, preceded changes in the level of prices, thus supporting the price quantity theory. These results are summarized in a regression model that estimates domestic price movements as a function of current changes in international prices and GDP and of lagged changes in domestic prices and the money supply. The final chapter is an empirical analysis of the support provided to the Swedish banking system during the most severe financial crises of the nineteenth century.  Maintaining the specie standard was over riding goal of the Riksbank. In times of crises, this concern prevented the Bank from supporting the banking system in accord with the classical lender of last resort recipe; to inject liquidity and briefly suspend convertibility. The thesis argues that in a transitional economy, such as that of nineteenth century Sweden, the fixed exchange rate makes it impossible in times of crisis to support the banks at all costs. Doing so might well convert a banking crisis into a currency crisis. Indeed, this is exactly what has happened in various countries on several occasions during the late twentieth century. Instead the appropriate procedure for acting as lender of last resort in a transitional economy is to initially support the banks, but only as long as central bank reserves are not exhausted. Should the seriousness of the crisis make this insufficient, the authorities should then proceed to import high powered money as a way of supplementing their reserves. The possibility that such action will be needed makes it particularly important that the country’s public finances be kept in good order. / <p>Diss. Stockholm : Handelshögskolan, 2003. Sammanfattning på engelska</p>

This study examines the development of monetary theory and various policy frameworks as implemented at the time of writing. The aim of the study was to determine the effect of monetary policy on disintermediation and re–intermediation throughout the periods of the various monetary policy frameworks in South Africa, specifically between 1970 and 2010. In order to achieve the research objective given above, a review was firstly conducted of the literature on monetary theory and policy. This literature review gave attention to the various methods of evaluating the extent of disintermediation, elaborating on the various factors that influence the disintermediation process. The literature suggests that the occurrence of disintermediation can be determined by comparing income velocity data to real interest rate data. The second step in achieving the research objective was to examine the South African income velocity data in comparison to the South African real interest rate data over the period 1970 to 2010. The study found that disintermediation arises from the application of semi–direct or direct monetary controls, which in turn creates abnormal interest rate gaps. Despite the different monetary frameworks adopted in South Africa from 1970 to 2010, a uniform response can be noted. It is observed that whenever real interest rates trough, income velocity in turn peaks, indicating disintermediation. The opposite is true for a high real interest rate environment; income velocity declines, indicating re–intermediation, as returns are sought for in the banking sector. It is also observed that monetary policy implementation proves difficult owing to its forward–looking nature. Complications arise out of the elasticity of transmission mechanisms, the lag effect thereof and models that are backward looking based on historical data. In short, the study found that care should be taken by monetary authorities not to over–act in either direction, whether monetary tightening or easing. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.

This study examines the development of monetary theory and various policy frameworks as implemented at the time of writing. The aim of the study was to determine the effect of monetary policy on disintermediation and re–intermediation throughout the periods of the various monetary policy frameworks in South Africa, specifically between 1970 and 2010. In order to achieve the research objective given above, a review was firstly conducted of the literature on monetary theory and policy. This literature review gave attention to the various methods of evaluating the extent of disintermediation, elaborating on the various factors that influence the disintermediation process. The literature suggests that the occurrence of disintermediation can be determined by comparing income velocity data to real interest rate data. The second step in achieving the research objective was to examine the South African income velocity data in comparison to the South African real interest rate data over the period 1970 to 2010. The study found that disintermediation arises from the application of semi–direct or direct monetary controls, which in turn creates abnormal interest rate gaps. Despite the different monetary frameworks adopted in South Africa from 1970 to 2010, a uniform response can be noted. It is observed that whenever real interest rates trough, income velocity in turn peaks, indicating disintermediation. The opposite is true for a high real interest rate environment; income velocity declines, indicating re–intermediation, as returns are sought for in the banking sector. It is also observed that monetary policy implementation proves difficult owing to its forward–looking nature. Complications arise out of the elasticity of transmission mechanisms, the lag effect thereof and models that are backward looking based on historical data. In short, the study found that care should be taken by monetary authorities not to over–act in either direction, whether monetary tightening or easing. / Thesis (M.Com. (Economics))--North-West University, Potchefstroom Campus, 2011.

This study examined the impact of real exchange rates on economic growth in South Africa. The study used quarterly time series data for the period of 1994 to 2010. The Johansen cointegration and vector error correction model was used to determine the impact of real exchange on economic growth in South Africa. The explanatory variables in this study were real exchange rates, real interest rates, money supply, trade openness and gross fixed capital formation. Results from this study revealed that real exchange rates, gross fixed capital formation and real interest rates have a positive long run impact on economic growth, while money supply and trade openness have a negative long run impact on economic growth in South Africa. From the regression results, it was noted that undervaluation of the currency significantly hampers growth in the long run, whilst it significantly enhances economic growth in the short run. As such, the policy of depreciating the exchange rates to achieve higher growth rates is only effective in the short run and is not sustainable in the long run. Based on the findings of this study, the researcher recommended that misalignment (overvaluation and undervaluation) of the currency should be avoided at all costs. In addition, the results of the study showed that interest rates also have a significant impact on growth and since interest rates have a bearing on the exchange rate, it was recommended that the current monetary policy in South Africa should be maintained.

This study investigated the determinants of inflation in South Africa using quarterly data from 1970Q1 to 2015Q4. The study was motivated by recent trends in domestic inflation that has frequently been at the upper end of the target range of between 3% and 6% and the need to guide inflation related policy since 2008. These recent trends raised concerns regarding the effectiveness of the current monetary policy approach in responding to internal and external factors that are significant in determining domestic inflation. Using Error Correction Model (ECM) modelling techniques, empirical results revealed that inflation expectations, labour costs, government expenditure and import prices are positive determinants, while GDP and exchange rates are negative determinants of inflation. To achieve the macroeconomic policy objective of a stable and low inflation rate for South Africa, more emphasis should be placed on anchoring inflation expectations, which was found to be highly significant in determining inflation. / Economics / M. Com. (Economics)

The thesis examined the comprehensive causal relationship between the banking sector, stock market development and economic growth in a multi-variate framework using Zimbabwean time series data from 1988 to 2015. Three banking sector development proxies (total financial sector credit, banking credit to private sector and broad money M3) and three stock market development proxies (stock market capitalization, value traded and turnover ratio) were employed to estimate both long and short run relationships between banking sector, stock market and economic growth in Zimbabwe. The study employs the vector error correction model (VECM) as the main estimation technique and the autoregressive distributed lag (ARDL) approach as a robustness testing technique. Results showed that in Zimbabwe a significant causal relationship from banking sector and stock market development to economic growth exists in the long run without any feedback effects. In the short run, however, a negative yet statistically significant causal relationship runs from economic growth to banking sector and stock market development in Zimbabwe. The study further concludes that there is a unidirectional causal relationship running from stock market development to banking sector development in Zimbabwe in both short and long run periods. Nonetheless this relationship between banking sector and stock markets has been found to be more significant in the short run than in the long run. The thesis adopts the complementary view and recommends for the spontaneity implementation of monetary policies as the economy grows. Monetary authorities should thus formulate policies to promote both banks and stock markets with corresponding growth in Zimbabwe’s economy. / Business Management / M. Com. (Business Management)