Arbeitspapier
Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models
In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies - namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil - in the Cointegrated Vector-Autoregressive (CVAR) framework. The main purpose is to assess empirically if liquidity conditions play a significant role for 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 in our case stands for the share of global liquidity that arrives in the recipient economy. A second aim is to check empirically whether central banks are able to serve as a driver of the stock market as it, for instance, seems to be the case in late 2012 and 2013 in the wake of the forward guidance conveyed by central banks worldwide.
- ISBN
-
978-3-86788-491-4
- Sprache
-
Englisch
- Erschienen in
-
Series: Ruhr Economic Papers ; No. 435
- Klassifikation
-
Wirtschaft
Interest Rates: Determination, Term Structure, and Effects
Central Banks and Their Policies
- Thema
-
asset prices
CVAR
central banks
monetary policy
VECM
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Belke, Ansgar
Wiedmann, Marcel
- Ereignis
-
Veröffentlichung
- (wer)
-
Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
- (wo)
-
Essen
- (wann)
-
2013
- DOI
-
doi:10.4419/86788491
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Belke, Ansgar
- Wiedmann, Marcel
- Rheinisch-Westfälisches Institut für Wirtschaftsforschung (RWI)
Entstanden
- 2013
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