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2019 | 17 | nr 3 (83) Evolution and Effectiveness of National and European Financial Management - Recommendations for the Future | 179--196
Tytuł artykułu

Causal Link between the Polish Stock Market and Selected Macroeconomic Indicators

Autorzy
Warianty tytułu
Związek przyczynowy między polskim rynkiem akcji i wybranymi wskaźnikami makroekonomicznymi
Języki publikacji
EN
Abstrakty
W niniejszym artykule zaproponowano badanie dynamiki w dwukierunkowej relacji między czynnikami makroekonomicznymi a rynkiem akcji w Polsce. W celu weryfikacji przyczynowości Grangera oraz analizy przebiegu funkcji odpowiedzi na impuls wykorzystano model wektorowej autoregresji. Analiza opiera się na danych miesięcznych i obejmuje okres od stycznia 2004 roku do grudnia 2018 roku. Wyniki badania wskazują, że indeks giełdowy znacząco przewodzi indeksowi produkcji przemysłowej i związek ten jest pozytywny. Równocześnie stopy procentowe nie są jedną z najważniejszych zmiennych, które oddziałują na ceny akcji. (abstrakt oryginalny)
EN
This article proposes a study of dynamics in the bi-directional relationship between macroeconomic factors and the stock market in Poland. In order to verify Granger's causality and analyse the course of the impulse response function, a model of vector autoregression was used. The analysis is based on monthly data and covers the period from January 2004 to December 2018. The results of the investigation show that the stock exchange index is a significant guide for the industrial production index and the relation is positive. At the same time, interest rates are not one of the most important variables that affect stock prices. (original abstract)
Twórcy
  • University of Warsaw, student
Bibliografia
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Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171564715

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