Stock market development and real economic activity in Peru

Erick Lahura and Marco Vega

No 2014-022, Working Papers from Banco Central de Reserva del Perú

Abstract: We explore the causal effect of stock market development on real economic activity in Peru. Based on the predictions of a simple growth model, we estimate vector autoregressive models and identify stock market shocks by imposing long-run restrictions in the dynamic response of real output per capita. Using annual time series data for the period 1965-2013, we find that stock market shocks have had a short-run causal effect on real GDP per capita only after 1991, a result that is consistent with standard Granger causality tests; however, the contribution of stock market shocks to output growth dynamics have been small. Thus, policy actions aimed at further developing the Peruvian stock market may have a positive impact on the dynamics of economic growth.

Keywords: Stock market development; output growth; VAR; long-run restrictions (search for similar items in EconPapers)
JEL-codes: E23 G1 (search for similar items in EconPapers)
Date: 2014-12
New Economics Papers: this item is included in nep-fmk and nep-mac
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Citations: View citations in EconPapers (1)

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Journal Article: Stock market development and real economic activity in Peru (2017)
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Persistent link: https://EconPapers.repec.org/RePEc:rbp:wpaper:2014-022

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