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

ISBN-13: 9783790826463 / Angielski / Twarda / 2011 / 460 str.

Marcel Wiedmann

Opis

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. This title intends to check whether liquidity conditions play an important role in stock market developments.

Spis treści

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

Blurb

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.