ENGLISH

Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis

By Marcel Wiedmann (auth.)

Book information

Publisher
Physica-Verlag Heidelberg
Year
2011
ISBN
3790826464, 9783790826463
DOI
10.1007/978-3-7908-2647-0
ISSN
1431-1933
Google Books ID
56jlY1XU6dMC
Language
english
Format
PDF
Filesize
3 MB (3304842 bytes)
Series
Contributions to Economics
Edition
1
Pages
460\495
Orientation
yes
Scanned
no
Time added
2011-08-31 04:54:40
Macroeconomics/Monetary Economics; Finance/Investm

Description

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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