Stock market, economic growth and EU accession: evidence from three CEECs

Guglielmo Maria Caporale and Nicola Spagnolo

International Journal of Monetary Economics and Finance, 2012, vol. 5, issue 2, 183-191

Abstract: This paper estimates a bivariate VAR-GARCH (1,1) model to examine linkages between the stock market and economic growth in three CEEC countries (the Czech Republic, Hungary and Poland). The empirical findings suggest that there is unidirectional causality running from stock markets to growth in the levels; this linkage becoming stronger following EU accession, which appears to have been beneficial, presumably as a catalyst for institutional building and development. The same holds in most cases for volatility spillovers as well. In addition, Germany is confirmed to act as a locomotive for these countries, and a tight monetary policy is found to affect both economic and stock market growth adversely.

Keywords: CEEC countries; Central and Eastern Europe; GARCH model; volatility spillovers; stock markets; economic growth; EU accession; European Union; Czech Republic; Hungary; Poland; Germany; modelling; monetary policy. (search for similar items in EconPapers)
Date: 2012
References: Add references at CitEc
Citations: View citations in EconPapers (6)

Downloads: (external link)
http://www.inderscience.com/link.php?id=48736 (text/html)
Access to full text is restricted to subscribers.

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:ids:ijmefi:v:5:y:2012:i:2:p:183-191

Access Statistics for this article

More articles in International Journal of Monetary Economics and Finance from Inderscience Enterprises Ltd
Bibliographic data for series maintained by Sarah Parker ().