Stock market crashes shocks and real economy in Tunisia
Haifa Hammami and
International Journal of Accounting and Finance, 2017, vol. 7, issue 1, 31-48
Our paper analyses the effect of stock market crashes shocks on the real economy in Tunisia using the vector autoregressive (VAR) model. On the one hand, the impulse response analysis shows that the real investment growth rate negatively reacts to stock market crashes shocks. On the other hand, the variance decomposition results suggest that the stock market crashes shocks explain a larger proportion of the variability in real investment growth rate. In contrast, the real industrial production growth rate, the real GDP growth rate and the real private consumption growth rate are only a little sensitive to Tunisian stock market crashes shocks.
Keywords: stock market crashes shocks; real economy; real investment growth rate; vector autoregressive model; VAR; impulse response; variance decomposition; Tunisia. (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ids:intjaf:v:7:y:2017:i:1:p:31-48
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