Money, Stock Prices and Central Banks – Cross-Country Comparisons of Cointegrated VAR Models

Ansgar Belke and Marcel Wiedmann

No 201308, ROME Working Papers from ROME Network

Abstract: 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 empirifcally if liquidity conditions play a signi cant 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 ows 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 as the consequence of the foward guidance given by central banks worldwide.

Keywords: exchange rate pass-through; Germany; cointegration; time-varying coefficient model (search for similar items in EconPapers)
JEL-codes: E31 F10 F14 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-07
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.rome-net.org/RePEc/rmn/wpaper/rome-wp-2013-08.pdf First version, 2013 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:rmn:wpaper:201308

Access Statistics for this paper

More papers in ROME Working Papers from ROME Network
Bibliographic data for series maintained by Albrecht F. Michler ().