Cross-country evidence on the relation between equity prices and the current account

Tim Berg ()

No 22, IMFS Working Paper Series from Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS)

Abstract: This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980-2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have a limited impact, shocks to equity prices have sizeable effects. The results suggest that equity prices impact on the current account through their effects on real activity and exchange rates. Furthermore, shocks to exchange rates play a key role as well. Keywords: current account fluctuations, equity prices, panel vector autoregression

Keywords: current account fluctuations; equity prices; panel vector autoregression (search for similar items in EconPapers)
JEL-codes: C33 E44 F32 (search for similar items in EconPapers)
Date: 2009
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https://www.econstor.eu/bitstream/10419/97770/1/IMFS_WP_22.pdf (application/pdf)

Related works:
Journal Article: Cross-country evidence on the relation between stock prices and the current account (2013)
Working Paper: Cross-country evidence on the relation between stock prices and the current account (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:zbw:imfswp:22

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