Contributions to Economics

Money, Stock Prices and Central Banks

A Cointegrated VAR Analysis

Authors: Wiedmann, Marcel

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  • Improving the understanding of the interrelation between liquidity and stock markets
  • Including three different liquidity measures: 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
  • Analyzing the long-run behavior and short-run dynamics of stock markets in the framework of a cointegrated VAR model
  • Cross-country analysis including 5 developed and 3 emerging economies
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About this book

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.

Table of contents (8 chapters)

Table of contents (8 chapters)

Buy this book

eBook $149.00
price for USA in USD
  • ISBN 978-3-7908-2647-0
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $199.99
price for USA in USD
  • ISBN 978-3-7908-2646-3
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
Softcover $199.99
price for USA in USD
  • ISBN 978-3-7908-2832-0
  • Free shipping for individuals worldwide
  • Institutional customers should get in touch with their account manager
  • Covid-19 shipping restrictions
  • Usually ready to be dispatched within 3 to 5 business days, if in stock
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Bibliographic Information

Bibliographic Information
Book Title
Money, Stock Prices and Central Banks
Book Subtitle
A Cointegrated VAR Analysis
Authors
Series Title
Contributions to Economics
Copyright
2011
Publisher
Physica-Verlag Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-7908-2647-0
DOI
10.1007/978-3-7908-2647-0
Hardcover ISBN
978-3-7908-2646-3
Softcover ISBN
978-3-7908-2832-0
Series ISSN
1431-1933
Edition Number
1
Number of Pages
XXXVI, 460
Topics