Money, Stock Prices and Central Banks, 2011 A Cointegrated VAR Analysis Contributions to Economics Series
Langue : Anglais
Auteur : Wiedmann Marcel
This contribution applies the cointegrated vector autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The main objective is to check whether liquidity conditions play an important role in stock market developments. As an innovation, liquidity conditions enter the analysis from three angles: in the form of a broad monetary aggregate, the interbank overnight rate and net capital flows, which represent the share of global liquidity that arrives in the respective country. A second aim is to understand whether central banks are able to influence the stock market.
List of Figures List of Tables List of Abbreviations 1 Introduction 2 Previous Research 3 Money and Stock Prices – Economic Theory 4 Monetary Liquidity and International Capital Flows 5 Empirical Analysis – General Remarks 6 Empirical Analysis by Country 7 Summary of Empirical Analysis and Policy Implications 8 Concluding Remarks Appendix A Details on the Calculation of the Capital Flows Time Series B Additional Information of Empirical Analysis C Impact of Macro Variables on Each Other: Summary Tables Bibliography
Improving the understanding of the interrelation between liquidity and stock markets Including three different liquidity measures: a broad monetary aggregate, the interbank overnight rate and net capital flows which represent the share of global liquidity that arrives in the respective country Analyzing the long-run behavior and short-run dynamics of stock markets in the framework of a cointegrated VAR model Cross-country analysis including 5 developed and 3 emerging economies Includes supplementary material: sn.pub/extras
Date de parution : 05-2011
Ouvrage de 460 p.
15.5x23.5 cm
Thèmes de Money, Stock Prices and Central Banks :
Mots-clés :
Central banks; Cointegrated VAR; Econometrics; Money; Stock market
© 2024 LAVOISIER S.A.S.