Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis by Marcel WiedmannMoney, Stock Prices and Central Banks: A Cointegrated VAR Analysis by Marcel Wiedmann

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

byMarcel Wiedmann

Paperback | July 15, 2013

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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.
Title:Money, Stock Prices and Central Banks: A Cointegrated VAR AnalysisFormat:PaperbackDimensions:460 pagesPublished:July 15, 2013Publisher:Springer-Verlag/Sci-Tech/TradeLanguage:English

The following ISBNs are associated with this title:

ISBN - 10:3790828327

ISBN - 13:9783790828320

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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