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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…mehr
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.
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
List of FiguresList of TablesList of Abbreviations1 Introduction2 Previous Research3 Money and Stock Prices - Economic Theory4 Monetary Liquidity and International Capital Flows5 Empirical Analysis - General Remarks6 Empirical Analysis by Country7 Summary of Empirical Analysis and Policy Implications8 Concluding RemarksAppendixA Details on the Calculation of the Capital Flows Time SeriesB Additional Information of Empirical AnalysisC Impact of Macro Variables on Each Other: Summary TablesBibliography
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
List of FiguresList of TablesList of Abbreviations1 Introduction2 Previous Research3 Money and Stock Prices - Economic Theory4 Monetary Liquidity and International Capital Flows5 Empirical Analysis - General Remarks6 Empirical Analysis by Country7 Summary of Empirical Analysis and Policy Implications8 Concluding RemarksAppendixA Details on the Calculation of the Capital Flows Time SeriesB Additional Information of Empirical AnalysisC Impact of Macro Variables on Each Other: Summary TablesBibliography
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