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Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis 1st edition Marcel Wiedmann (auth.)

  • SKU: BELL-2245232
Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis 1st edition Marcel Wiedmann (auth.)
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Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis 1st edition Marcel Wiedmann (auth.) instant download after payment.

Publisher: Physica-Verlag Heidelberg
File Extension: PDF
File size: 3.15 MB
Pages: 460
Author: Marcel Wiedmann (auth.)
ISBN: 9783790826463, 3790826464
Language: English
Year: 2011
Edition: 1

Product desciption

Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis 1st edition Marcel Wiedmann (auth.) by Marcel Wiedmann (auth.) 9783790826463, 3790826464 instant download after payment.

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.

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