Abstract
This contribution applies the CVAR model to analyze the long-run behavior and short-run dynamics of stock markets across five developed and three emerging economies. The governing thought is that liquidity conditions play an important role for stock market developments. 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 objective is to understand whether central banks are able to influence the stock market.
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Notes
- 1.
Many theories of the monetary transmission mechanism, such as the asset price channel, the balance sheet channel and the liquidity effects view, are based on the initial relationship between interest rates and asset prices (Mishkin 1995, pp. 5–9).
- 2.
For an example of a constructed measure of ‘uncertainty’, see Greiber and Lemke (2005, pp. 5–6, 10–13).
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© 2011 Springer-Verlag Berlin Heidelberg
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Wiedmann, M. (2011). Concluding Remarks. In: Money, Stock Prices and Central Banks. Contributions to Economics. Physica, Heidelberg. https://doi.org/10.1007/978-3-7908-2647-0_8
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DOI: https://doi.org/10.1007/978-3-7908-2647-0_8
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Publisher Name: Physica, Heidelberg
Print ISBN: 978-3-7908-2646-3
Online ISBN: 978-3-7908-2647-0
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