Causal Link Between the Polish Stock Market and Selected Macroeconomic Indicators (Zwiazek przyczynowy miedzy polskim rynkiem akcji i wybranymi wskaznikami makroekonomicznymi)

Szczepan Urjasz
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Szczepan Urjasz: Faculty of Management, University of Warsaw

Problemy Zarzadzania, 2019, vol. 17, issue 83, 179-196

Abstract: This article proposes a study of dynamics in the bi-directional relationship between macroeconomic factors and the stock market in Poland. In order to verify Granger’s causality and analyse the course of the impulse response function, a model of vector autoregression was used. The analysis is based on monthly data and covers the period from January 2004 to December 2018. The results of the investigation show that the stock exchange index is a significant guide for the industrial production index and the relation is positive. At the same time, interest rates are not one of the most important variables that affect stock prices.

Keywords: stock market; industrial production; interest rate; impulse response function; VAR models (search for similar items in EconPapers)
JEL-codes: C32 C50 E44 G1 (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:sgm:pzwzuw:v:17:i:83:y:2019:p:179-196

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