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Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis PDF

495 Pages·2011·3.152 MB·English
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by Marcel Wiedmann (auth.)| 2011| 495 pages| 3.152| English

About Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis

This contribution applies the 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. The main objective is to check whether liquidity conditions play an important role in 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 aim is to understand whether central banks are able to influence the stock market.

Detailed Information

Author:Marcel Wiedmann (auth.)
Publication Year:2011
ISBN:9783790826463
Pages:495
Language:English
File Size:3.152
Format:PDF
Price:FREE
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