Development of Relationship Between Macroeconomic Variables and Stock Market Prices in the Czech Republic, Poland, Germany, Euroarea, and the United Kingdom

• Autorzy: Lumir Kulhanek , Stanislav Matuszek
• Języki publikacji: EN

Abstrakty

EN

In general, the relationship between macroeconomic variables and asset prices has recently renewed the interest among academics, researchers and policy-makers. One of the interesting discussions is whether the real output responds to developments in money supply and financial markets. Under the standard prevailing approach, changes in money supply affect the real economic activities through various channels. These include the liquidity channel, stock price channel, wealth effects, and household liquidity effects. Basing on these explanatory models, we can discern that interactions among the real economic activities, money, and stock market prices are bound in a dynamic way. Macroeconomic variables influence and are influenced by stock prices and monetary variables. In addition, economic variables interact with each other. Unfortunately, the direction of the interactions and which variable is a leader (dominant, contemporaneous, or lagged) in the interactions remain unclear. Thus, the nature, direction, strength or weakness of the interactions among them in the short-run and long-run is of the high interest and needs to be investigated and evaluated empirically. Several studies modelled the relationships between real economic activity and stock prices for the USA, the United Kingdom, and selected Central European countries. Following these authors we hypothesize a positive relation between a gross domestic product and stock prices. Traditionally, the causality between money and stock prices has been assumed to run from money to stock prices. It is usually argued that a rise in the money demand facilitates an increase in output, profits and stock prices. According to Friedman (1988) and a number of other studies, the causality between money and stock prices has assumed to run from stock prices to money. A rise in stock prices could imply a rise in financial transactions both in the transaction money demand. A rise in stock prices caused through the wealth, effects higher wealth to income ratio and therefore higher money to income ratio. A rise in stock prices reflects a rise in an expected return from risky assets relative to safe assets. To offset the subsequent rise in risk of an investor's portfolio, relatively safe assets would be substituted for longterm bonds. All three factors should have produced a positive relationship between stock prices and money. To date there has been little attempt to determine in which direction causality actually runs in the countries other than the USA. (fragment of text)

Słowa kluczowe

EN

Finance; Stock market; Empirical analysis; Vector Autoregression Model (VAR)

PL

Finanse; Giełda papierów wartościowych; Analiza empiryczna; Model wektorowej autoregresji

• Czasopismo: Prace Naukowe / Akademia Ekonomiczna w Katowicach
• Rocznik: 2008
• Tom: Finanse wobec sfery realnej gospodarki : praca zbiorowa. T. 1
• Strony: 39--63

Twórcy

autor

Lumir Kulhanek

• College of Social and Administrative Affairs, Havirov - Mesto, Czech Republic

autor

Stanislav Matuszek

• Silesian University Opava, Czech Republic

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