Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe

Hubert Wisniewski ()
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Hubert Wisniewski: Uniwersytet Warszawski, Wydzial Zarzadzania

Problemy Zarzadzania, 2017, vol. 15, issue 66, 162-177

Abstract: The aim of this article is an empirical verification of the impact of national macroeconomic variables on stock market indices. To investigate these relationships, three estimators: DFE, MG and PMG were used. The study used data from twenty OECD countries. The macroeconomic variables used included: industrial production, inflation, unemployment rate, exchange rate, short- and long-term interest rates. The estimation brought interesting results for the different macroeconomic variables, depending on the type of short-run or long-run relationships.

Keywords: macroeconomic variables; stock indices; panel data; short- and long-run relationship; DFE; MG and PMG estimators. (search for similar items in EconPapers)
JEL-codes: E44 G12 G15 G17 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:162-177

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