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© 2011

Money, Stock Prices and Central Banks

A Cointegrated VAR Analysis

Benefits

  • Improving the understanding of the interrelation between liquidity and stock markets

  • Including three different liquidity measures: 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

  • Analyzing the long-run behavior and short-run dynamics of stock markets in the framework of a cointegrated VAR model

  • Cross-country analysis including 5 developed and 3 emerging economies

Book

Part of the Contributions to Economics book series (CE)

Table of contents

  1. Front Matter
    Pages i-xxxvi
  2. Marcel Wiedmann
    Pages 1-7
  3. Marcel Wiedmann
    Pages 9-18
  4. Marcel Wiedmann
    Pages 19-32
  5. Marcel Wiedmann
    Pages 55-73
  6. Marcel Wiedmann
    Pages 75-274
  7. Marcel Wiedmann
    Pages 297-300
  8. Back Matter
    Pages 301-457

About this book

Introduction

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.

Keywords

Central banks Cointegrated VAR Econometrics Money Stock market

Authors and affiliations

  1. 1.McKinsey & CompanyStuttgartGermany

Bibliographic information

Industry Sectors
Finance, Business & Banking