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Money, Stock Prices and Central Banks : A Cointegrated VAR Analysis / by Marcel Wiedmann

By: Resource type: Ressourcentyp: Buch (Online)Book (Online)Language: English Series: Contributions to Economics | SpringerLink BücherPublisher: Heidelberg : Springer-Verlag Berlin Heidelberg, 2011Description: Online-Ressource (XVI, 430p. 132 illus, digital)ISBN:
  • 9783790826470
Subject(s): Additional physical formats: 9783790826463 | Buchausg. u.d.T.: Money, stock prices and central banks. Heidelberg [u.a.] : Physica-Verlag, 2011. XXXVI, 457 S.DDC classification:
  • 339
  • 332.4
RVK: RVK: QK 000 | QK 622LOC classification:
  • HB172.5
  • HG4551
DOI: DOI: 10.1007/978-3-7908-2647-0Online resources:
Contents:
Money, Stock Prices and Central Banks; Acknowledgements; Contents; List of Figures; List of Tables; List of Abbreviations; Chapter 1 Introduction; 1.1 Context, Motivation and Objectives; 1.2 Structure; Chapter2 Previous Research; 2.1 Money and Stock Prices; 2.1.1 Historical Overview; 2.1.2 Recent Research; 2.1.3 Research of Money and Stock Prices in Cointegrated VAR Models on a National Level; 2.2 Academic Void; Chapter3 Money and Stock Prices: Economic Theory; 3.1 Chapter Overview; 3.2 Effects of Money on Stock Prices; 3.2.1 Effects Initiated by Changes in the Quantity of Money
3.2.1.1 Portfolio-Balance Effect3.2.1.2 Increased Inflation Expectations; 3.2.2 Effects Initiated by Changes in the Price of Money; 3.2.2.1 Relative Attractiveness of Stocks and Bonds; 3.2.2.2 The Discount Factor; 3.2.3 Effects Initiated by Changes in Either Quantity or Price of Money; 3.2.3.1 Monetary Effects on Stock Prices via Economic Growth; 3.2.3.2 Confidence, Optimism and Bubbles; 3.3 Effects of Stock Prices on Money Demand; 3.3.1 Money Demand; 3.3.2 Money Demand Augmented with Stock Prices; 3.4 Conclusion; Chapter4 Monetary Liquidity and International Capital Flows
4.1 Chapter Overview4.2 Monetary Liquidity Versus Market Liquidity; 4.3 The Connection Between Money Stock and Interest Rates; 4.4 Monetary Aggregates; 4.4.1 Monetary Liquidity Creation; 4.4.2 Narrow Versus Broad Money; 4.4.3 Total Liquidity Versus Excess Liquidity; 4.5 Interest Rates; 4.6 National Versus Global Focus; 4.6.1 International Economic and Financial Integration; 4.6.2 Aggregation Issues and Importance of Country-Level Analysis; 4.6.3 International Capital Flows; 4.6.3.1 The Balance of Payments; 4.6.3.2 The Monetary Presentation of the Balance of Payments; 4.7 Conclusion
Chapter5 Empirical Analysis: General Remarks5.1 Econometric Approach: The Cointegrated VARFramework; 5.1.1 Methodological Motivation; 5.1.2 The Cointegrated VAR Model; 5.2 Introduction to Potential Long-Run RelationsBetween the Economic Variables; 5.2.1 Necessary Economic Variables; 5.2.2 Potential Long-Run Relations Between the Economic Variables; 5.2.3 Summary of Potential Cointegration Relations; Chapter6 Empirical Analysis by Country; 6.1 Chapter Overview; 6.2 United States of America: Quarterly Data; 6.2.1 Model Specification
6.2.1.1 Data Overview, Deterministic Components and Lag Length6.2.1.2 Misspecification Tests; 6.2.1.3 Rank Determination; 6.2.2 Identification of the Long-Run Structure; 6.2.2.1 Assessment of the Unrestricted Π-Matrix; 6.2.2.2 Preliminary Hypotheses Testing; 6.2.2.3 Identification of the Long-Run Cointegrating Relations; 6.2.3 Short-Run Dynamics; 6.2.4 The Long-Run Impact of the Common Trends; 6.2.5 Conclusion; 6.3 Euro Area: Monthly Data; 6.3.1 Model Specification; 6.3.1.1 Data Overview, Deterministic Components and Lag Length; 6.3.1.2 Misspecification Tests; 6.3.1.3 Rank Determination
6.3.2 Identification of the Long-Run Structure
Summary: 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 marketPPN: PPN: 165094456XPackage identifier: Produktsigel: ZDB-2-SBE
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