EconPapers    
Economics at your fingertips  
 

Dissecting long-run and short-run causalities between monetary policy and stock prices

Ansgar Belke () and Marcel Wiedmann
Additional contact information
Marcel Wiedmann: Hella GmbH

International Economics and Economic Policy, 2018, vol. 15, issue 4, 761-786

Abstract: Abstract We adopt a Cointegrated Vector-Autoregressive (CVAR) model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. Our main aim is to check whether liquidity conditions play an important 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 flows which represent the share of global liquidity that arrives in the respective country. A second objective is to understand whether central banks are able to influence the stock market.

Keywords: Asset prices; CVAR; Central banks; Monetary policy; VECM (search for similar items in EconPapers)
JEL-codes: E43 E58 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://link.springer.com/10.1007/s10368-018-0413-y Abstract (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:kap:iecepo:v:15:y:2018:i:4:d:10.1007_s10368-018-0413-y

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10368/PS2

Access Statistics for this article

International Economics and Economic Policy is currently edited by Paul J.J. Welfens, Holger C. Wolf, Christian Pierdzioch and Christian Richter

More articles in International Economics and Economic Policy from Springer
Bibliographic data for series maintained by Sonal Shukla ().

 
Page updated 2019-07-20
Handle: RePEc:kap:iecepo:v:15:y:2018:i:4:d:10.1007_s10368-018-0413-y