A stable money demand function plays a vital role in the analysis of macroeconomics, especially in the planning and implementation of monetary policy. With the use of cointegration and error correction model estimates, this study examines the existence of a stable long-run relationship between real money demand (RM2) and its explanatory variables, in South Africa, for the period 1990-2007. The explanatory variables this study uses are selected on the basis of different monetary theories, including the Keynesian, Classical and Friedman‟s modern quantity theory of money. Based on these theories, the explanatory variables this thesis uses are real income, an interest rate, the inflation rate and the exchange rate. All variables have the correct signs, as expected from economic theory, except the inflation rate. Thus real income and inflation have positive coefficients, while the interest rate and exchange rate coefficients are negative. The results from unit root tests suggest that real income, interest rate and the inflation rate are found to be stationary, while RM2 and the exchange rate are non-stationary. Results from the Engle-Granger test suggest that RM2 and its all explanatory variables are cointegrated. Hence, we find a long-run equilibrium relationship between the real quantity of money demanded and four broadly defined macroeconomic components: real income, an interest rate, the inflation rate and the exchange rate in South Africa. Overall, the study finds that the coefficient of the equilibrium error term is negative, as expected, and significantly different from zero, implying that 0.20 of the discrepancy between money demand and its explanatory variables is eliminated in the following quarter. This evidence suggests that the speed of adjustment for money demand implies the money market in South Africa needs about four quarters to re-adjust to equilibrium. This observation agrees with the public statements of the South African Reserve Bank. Whether this will hold after November 2009 is the obvious subject of future research. / Thesis (M.Comm.) - University of KwaZulu-Natal, Pietermaritzburg, 2009.

The study was designed to examine the causal relationship between the Venezuelan inflation and the monetarist variables--money supply--and the structuralist variables-- exchange rate and balance of payments. The data (1964-1982) was gathered from the International Financial Statistic Yearbook, 1983 and the Statistical Yearbook, 1974, 1982. Chapter I is an introduction to the research problem. Chapter II does a review of the related literature. Chapter III deals with the methods and procedures for treating the data. Chapter IV presents an statistical analysis of the data. And, Chapter V contains a summary of the study and its findings, conclusions and recommendations. The study only found a significant relationship between inflation and the monetarist variables money supply and GNP, though supporting the monetarist theory. A similar investigation is suggested, but selecting a longer time period, other.variables, and more refined methodologies and analysis.

This thesis concentrates on the topic of the endogenous supply of money. It describes the basic shapes of the endogenous money theory and analyzes the causes of usual misunderstandings about the nature and behavior of money. We outline the important difference between asset-based and liability-based understanding of money and conclude that although both principles are theoretically applicable, the liability-based approach matches the major volume of real economic transactions. The liability-approach, which we conclude to be more appropriate way of understanding money, leads back to the topic of money endogeneity. We go over to the development of the ideas of endogenous supply of money as they appear over the second half of the 20th century and depict the major contributions in this area. We reference also the Czech academic research and comment the most relevant works. In the second part, the thesis concentrates on two theoretical areas analyzing the impacts of the money endogeneity. We point out at fundamental controversies in the concept of deposit multiplication concluding it to be an unrealistic process in a credit based economy. We conclude that the stock of money is not a directly controllable aggregate, especially not by means of the money base. The other area is the theory of capital and the foundation of the return on capital. We recall the Keynesian topic of the euthanasia of the rentier, develop the microeconomical foundation of the accumulation of capital and conclude that the zeroizing of the interest rate is feasible in a long-run. In the third part we go over to economic history and schools of economic thinking confronting them with the theory of endogenous supply of money. We concentrate on the notorious Smithian criticism of the mercantile doctrine finding the criticism not fully sustainable if we consider the varying nature of money over the medieval period. We analyze the available statistical data of medieval England concluding that the stock of monetary metals had a direct influence on the economic activity of England in the pre-Smithian era thus referencing to a strongly exogenous character of money, while there is no such relation afterwards, when money was becoming more endogenous. We put a next emphasis on the Austrian theory of money, which in many aspects is at variance with the endogenous money theory. We analyze both views on the money circulation and add new comments to the discussion on the foundation of the return on capital. We draw attention to the Mises' idea of Zirkulationskredit (circulation credit) concluding that this concept comes in fact to a common understanding of the money behavior along with the endogenous money approach. We conclude with finding that the theory of endogenous supply of money is a fundamental economical concept with impacts on almost all other branches of economics. This thesis thus contributes to a larger adoption of the endogenous money theory in the economical research on the theoretical as well as on the practical level. Concerning the practical area, the primary interest in adoption of this theory in contemporary macroeconomics is indeed concentrated on the suggestion for economic policy after the 2008 subprime crisis and we extend this thesis also by concluding notes in this issue.

This study empirically investigates the relationship between fiscal deficit, inflation, M3 money supply and the exchange rate in South Africa. The study makes use of quarterly macroeconomic time-series data sets comprising 84 observations, covering the period from 1994Q1 to 2015Q4. The unit root tests conducted employed the Augmented Dickey Fuller (ADF) and Phillips-Perron (PP) tests. The results reveal that the variables become stationary at first difference. The Johansen co-integration technique suggests that there is at least one co-integrating equation among the variables. The results of the Engle-Granger approach, which is residual based, show that the residuals are stationary, thus validating the existence of a long-run relationship between the model variables. The study carried out a Granger causality test. The results indicate that there is a strong Granger causal relationship between the variables (IF) and (FD). Another strong causal relationship emerges between inflation and money supply. The ECM model was employed to identify the speed of adjustment as a response to the departures from the long-run equilibrium path. The estimated coefficient of the ECM error term has the required sign and is statistically significant at the five per cent level of significance. The error term indicates a quick convergence to equilibrium. The study concludes that the dependent variable (FD) is jointly caused by all the independent variables in the long-run. The results of the variance decomposition of the variable (FD) to innovations resulting from IF, MS and RER indicate that own shocks remain the dominant source of total fluctuations in the forecast error of the variables. The findings of the study are efficient and reliable as the estimated model passed all the major diagnostic tests. By implication the findings suggest that the estimated model show high goodness of fit and is thus reliable for policy making. The study recommends a fiscal adjustment that will enhance economic growth. Additionally, a fiscal policy that will aim at identifying and mitigating other possible leakages that narrow the tax base should be considered.

我國經濟自去年（八十六年）下半年以來，因受東南亞金融風暴影響所及，國內股、匯市在此衝擊下，新台幣兌美元匯率接連貶破歷年低點，股市亦跌勢不止，股價與匯價的變動成為眾所矚目之焦點；亦為政府當局與學者專家無不致力尋求一完善解決之道，此即為筆者期能藉本文解釋此三變數間之相關性。 貨幣供給與匯率之變動，皆會對經濟活動產生重大影響；特別是貨幣供給量的多寡，往往被視為影響股票價格波動的主要因素。理論上，貨幣供給變動首先會透過資產調整效果直接影響股價，繼之由於其對於經濟活動之影響而影響利率以及企業之盈餘，又間接地影響股價。貨幣學派認為由於此一影響程序，因此貨幣供給會領先股價的變動。 但是，由財務管理學上所發展出來之效率資本市場（Efficient Capital Market Theory），卻認為投資者無法以過去的資料（包括貨幣供給量與匯率之變動）來預測未來股票價格的高低，所以亦無法從中獲得超額利潤。因為在效率資本市場中，影響股票價格的情報必會立即傳遍整個市場，同時此項情報立即反映於股票價格的漲落，因此投資者將無法以過去的資料來預測股票價格，賺取超額利潤。 以上兩個理論似乎相互衝突與矛盾，在台灣地區貨幣供給、匯率與股價水準間之關係，到底是合乎貨幣數量學說？或是合乎效率資本市場理論？ 由本文可發現，大多數過去國內文獻中，有關貨幣供給與股價的實證結論，皆贊同貨幣學派之主張，與文中我國時間數列資料之繪圖觀察，似可概推貨幣供給領先股價之論點，但仍須以嚴謹之實證研究加以驗證。 此外，由過去國內文獻對於匯率與股價因果關係實證研究結論，以及金融風爆發之始，我國前半年經濟情勢的觀察，顯示匯率與股價是呈反向變動關係，似可作為投資大眾之決策參考。 目 錄 第一章 緒論…………………………………………………... 1 第一節 研究背景………………………………………... 1 第二節 研究動機與目的………………………………... 3 第三節 研究內容之說明………………………………... 4 第二章 理論基礎………………………………………….….. 5 第一節 貨幣供給與股票價格之理論關係………….….... 5 第二節 貨幣供給與匯率之理論關係……………………14 第三節 匯率與股票價格之理論關係……………………18 第三章 貨幣供給與股票價格之關係………………………..21 第一節 貨幣供給對股票價格之影響…………………...21 第二節 文獻回顧………………………………………...23 第三節 貨幣供給與股票價格之時間趨勢……………...26 第四節 本章小結………………………………………..30 第四章 匯率與股票價格之關係……………………….……31 第一節 1970年至1990年間台灣匯率制度的演變過程……………………………………………….31 第二節 文獻回顧………………………………………..34 第三節 匯率與股票價格之時間趨勢…………………..36 第四節 本章小結………………………………………..38 第五章 結論…………………………………………………39 第一節 主要發現……………………………………….39 第二節 可進一步引申之方向………………………….39 參考文獻………………………………………………………...41 / money supply exchange rate stock price

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Trying to find explanations to movements in the exchange rate is something that econo-mists have been dealing with to a great extend lately. Especially since the break down of the Bretton Wood system in the early 1970’s, when many countries introduced a floating sys-tem instead. One of the most famous and often tested models is Jeffery A. Frankel’s Real Interest Differential (RID) model from 1979. This paper investigates which of the variables included in the model are affecting move-ments in the exchange rate for Sweden, the UK and Japan against the US dollar between January 1995 and December 2004. The variables in question are money supply, industrial production, interest rate and inflation differential. The model has purchasing power parity and uncovered interest parity as underlying theoretical assumptions, two main building blocks of open macro economics, and when combined, they can offer a relationship be-tween changes in the exchange rate and the interest rate differential. The results show that the variable interest rate differential constitutes a significant explana-tory variable for exchange rate movements regarding all three countries included in the model. Both Sweden and the UK have also, in accordance with the RID model, the ex-pected negative sign on the coefficient. The results regarding the other variables are mixed between the countries, but it can in general be said that the model seems to be able to ex-plain movements in the exchange rate to a certain degree.

This study examines the impact of exchange rate on inflation in Nigeria economy between 1970 and 2007. We analyzed the trend of inflation and exchange rate in the last 38 years by evaluating the relationship between government expenditure, money supply, Oil revenue, exchange rate and inflation as the dependent variables. We adopted the Augmented Dickey- Fuller to carry out the unit root test and co integration with Johansen test. Our result shows that the individual variables are integrated order one, that is a unit root exist. This means that each variable tends to follow a random walk. On the other hand, inflation rate, exchange rate, oil revenue, government spending and money supply are co integrated. This revealed a strong relationship among the variables though inflation rate and exchange rate show no long term relationship, but short term relationship seems to exist between them.

ABSTRACT Title The Effect of Macroeconomic Variables on Market Premium. Study of Sweden, Germany and Canada Authors Samira Allahyari Westlund Arad Tahmidi Dmytro Sheludchenko Supervisor Christos Papahristodoulou Key words Macroeconomic, market risk premium, GDP, inflation, money supply, primary net lending and net borrowing, regression analysis. Institution Mälardalen University School of Sustainable Development of Society and Technology Box 883, SE-721 23 Västerås Sweden Course Bachelor Thesis in Economics (NAA 301), 15 ECTS Problem statement Risk premium value is of great interest to the financial world, since this value represents the extra return that investors receive considering the risk from investing in financial markets. The fluctuations in stock markets are believed to be influenced by changes in macroeconomic variables. Purpose The purpose of this paper is to analyze the effect of macroeconomic variables on and their relation to market risk premium in Canada, Sweden and Germany in the years 1992 – 2007. Method Multiple Regression Analysis, Ordinary Least squares (OLS) Result Forecasted Growth in real GDP is the only macroeconomic variable which has significant relation with market risk premium. The effect of money supply was found to be insignificant. Net lending and net borrowing had significant negative effect on market risk premium in Canada, whereas in Germany and Sweden the relationship was not significant.

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