Author : Ansgar Hubertus Belke
Publisher :
ISBN 13 :
Total Pages : 31 pages
Book Rating : 4.:/5 (13 download)
Book Synopsis Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models by : Ansgar Hubertus Belke
Download or read book Monetary Policy, Stock Prices and Central Banks - Cross-Country Comparisons of Cointegrated VAR Models written by Ansgar Hubertus Belke and published by . This book was released on 2013 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper, we analyze the long-run behavior and short-run dynamics of stock markets across some selected developed and emerging economies - namely the United States, the Euro Area, Japan, the United Kingdom, Australia, South Korea, Thailand and Brazil - in the Cointegrated Vector-Autoregressive (CVAR) framework. The main purpose is to assess empirically if liquidity conditions play a significant role for 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 in our case stands for the share of global liquidity that arrives in the recipient economy. A second aim is to check empirically whether central banks are able to serve as a driver of the stock market as it, for instance, seems to be the case in late 2012 and 2013 in the wake of the forward guidance conveyed by central banks worldwide.