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Physica Money, Stock Prices and Central Banks: A Cointegrated VAR Analysis: 0 (Contributions to Economics)

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Description

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.

Product Specifications

Brand
Physica
Format
hardcover
Domain
Amazon UK
Release Date
08 May 2011
Listed Since
15 November 2010

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