Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania

Razvan Stefanescu and Ramona Dumitriu

MPRA Paper from University Library of Munich, Germany

Abstract: Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this relation was very weak before the crisis, when the Romanian stock market experienced an ascendant trend. Instead, it became quite significant during the crisis when the financial markets are very sensitive to the external stimuli and the monetary policy has to take into consideration the impact of interest rates on the stock prices.

Keywords: Granger causality; Vector Autoregression; Romanian stock market; interest rates; global crisis (search for similar items in EconPapers)
JEL-codes: E43 E52 G10 G12 (search for similar items in EconPapers)
Date: 2010-04-24, Revised 2011-02-16
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Published in Proceedings of the International Conference on Economics and Administration, Bucharest, June 3 – 4, 2011 (2010): pp. 595-607

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:36716

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