Money, Stock Prices and Central Banks A Cointegrated VAR Analysis
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 marke...
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| Format: | eBook |
| Language: | English |
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Heidelberg
Physica
2011, 2011
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| Edition: | 1st ed. 2011 |
| Series: | Contributions to Economics
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| Subjects: | |
| Online Access: | |
| Collection: | Springer eBooks 2005- - Collection details see MPG.ReNa |
| Summary: | 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 |
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| Physical Description: | XXXVI, 460 p online resource |
| ISBN: | 9783790826470 |