Money, Stock Prices and Central Banks

A Cointegrated VAR Analysis

Business & Finance, Economics, Macroeconomics, Finance & Investing, Finance
Cover of the book Money, Stock Prices and Central Banks by Marcel Wiedmann, Physica-Verlag HD
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Author: Marcel Wiedmann ISBN: 9783790826470
Publisher: Physica-Verlag HD Publication: May 5, 2011
Imprint: Physica Language: English
Author: Marcel Wiedmann
ISBN: 9783790826470
Publisher: Physica-Verlag HD
Publication: May 5, 2011
Imprint: Physica
Language: English

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.

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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.

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