Stock exchange index returns in different inflation rate regimes

ISBN-13: 9783848483150 / Angielski / Miękka / 56 str.

Anita Radman Pe a; Alenka Kavkler; Mejra Festic

Opis

In this paper, we apply a tree based approach to examine the stock exchange index returns for the panel of 12 New EU Member States in the last ten years. As explanatory variables we employ GDP, interest rates and other financial and macroeconomic variables. To obtain the tree structure of the model, the model-based recursive partitioning (MOB) algorithm uses the generalized M-fluctuation test to check for parameter instability. In our case, the algorithm yields three terminal nodes pointing to rate of inflation as the splitting variable. The results are discussed and interpreted in light of the current economic situation.

O autorze

ANITA RADMAN PE A is Assistant Prof. at University of Zadar, Dept. of Economics. ALENKA KAVKLER is Assistant Prof. of Quantitative Economic Analysis at the Faculty of Economics and Business, University of Maribor.MEJRA FESTI is Full Prof. of Economic Theory and Policy, Banking and Finance, employed as a vice-governor at the Bank of Slovenia.