Interactions between financial markets and macroeconomic variables in EU: a nonlinear modeling approach

Konferenzbeitrag

There is a general acceptance of the fact that a significant direct relationship between financial markets and macroeconomic variables exists, especially by considering the assertion that developed financial markets correspond to high GDP levels. This paper provides an investigation of the correlation between the market capitalization and stock market dynamics on one hand and GDP per capita on the other hand, for two groups of regions in EU (western countries, EU15, and central and eastern countries, EU11). Based on data for a number of EU countries (both western and eastern) and using some special modelling techniques, we provide an analysis of the convergence phenomenon for both the macroeconomic variables and the financial ones. Using a deep time resolution and some spline functions we generated high frequency time series (the so-called virtual monthly GDP) to investigate the correlations with financial markets. In spite of ECB?s carefull monitoring of the financial integration within the euro zone, a possible financial integration process within the non-euro zone continues to be ignored. It seems that due to the weak development of financial markets, the economies outside of the euro zone are relatively more protected against crisis when compared to those inside the euro zone. Therefore, the so-called contagion effect is weaker in the Central and Eastern region of European Union.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: 55th Congress of the European Regional Science Association: "World Renaissance: Changing roles for people and places", 25-28 August 2015, Lisbon, Portugal

Classification and Topics

• Classification: Wirtschaft ; Financial Crises ; International Financial Markets ; Financial Markets and the Macroeconomy ; Money and Interest Rates: Forecasting and Simulation: Models and Applications ; Empirical Studies of Economic Growth; Aggregate Productivity; Cross-Country Output Convergence
• Subject: macroeconomic variables ; financial crisis ; convergence ; non-linear modeling

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Albu, Lucian-Liviu ; Lupu, Radu ; Calin, Adrian Cantemir
• Event: Veröffentlichung
• (who): European Regional Science Association (ERSA)
• (where): Louvain-la-Neuve
• (when): 2015

Further information

• Handle: http://hdl.handle.net/10419/124689
• Last update: 10.03.2025, 11:42 AM CET