Money, stock prices and central banks : a cointegrated VAR analysis
Author(s)
Bibliographic Information
Money, stock prices and central banks : a cointegrated VAR analysis
（Contributions to economics）
Physica-Verlag, c2011
Available at 9 libraries
Note
Includes bibliographical references (p. 439-451) and index
Description and Table of Contents
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.
Table of Contents
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
by "Nielsen BookData"