The Relationship between stock markets and gross domestic product in the Central and Eastern Europe

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61989100%3A27510%2F12%3A86087280" target="_blank" >RIV/61989100:27510/12:86087280 - isvavai.cz</a>

Výsledek na webu

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DOI - Digital Object Identifier

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Jazyk výsledku

angličtina

Název v původním jazyce

The Relationship between stock markets and gross domestic product in the Central and Eastern Europe

Popis výsledku v původním jazyce

Paper is concerned with causal linkages among stock prices, output and money supply development in the Central and Eastern European countries. The main objective is to investigate and evaluate long-run equilibrium relationships between stock prices and macroeconomic variables as well as short-run dynamics using both the Vector Autoregressive (VAR) and Vector Error Correction (VEC) models in Austria, the Czech Republic, Hungary, Poland, and Slovak Republic. National stock market indices, gross domestic product and money supply are used in this study. In the analysis quarterly data from 1995:Q1 to 2012:Q2 has been applied. We have applied tests for co-integration, it has been discovered that there is a long-run co-integration relationship between variables and we have estimated both the VAR and VEC models, along with comparing the usefulness of VAR and VEC models for the gross domestic product growth modeling. The evidence obtained from the analysis of time series suggests that in all ca

Název v anglickém jazyce

The Relationship between stock markets and gross domestic product in the Central and Eastern Europe

Popis výsledku anglicky

Paper is concerned with causal linkages among stock prices, output and money supply development in the Central and Eastern European countries. The main objective is to investigate and evaluate long-run equilibrium relationships between stock prices and macroeconomic variables as well as short-run dynamics using both the Vector Autoregressive (VAR) and Vector Error Correction (VEC) models in Austria, the Czech Republic, Hungary, Poland, and Slovak Republic. National stock market indices, gross domestic product and money supply are used in this study. In the analysis quarterly data from 1995:Q1 to 2012:Q2 has been applied. We have applied tests for co-integration, it has been discovered that there is a long-run co-integration relationship between variables and we have estimated both the VAR and VEC models, along with comparing the usefulness of VAR and VEC models for the gross domestic product growth modeling. The evidence obtained from the analysis of time series suggests that in all ca

Druh

D - Stať ve sborníku

CEP obor

AH - Ekonomie

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2012

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název statě ve sborníku

Proceedings of the 7th International Conference on Currency, Banking and International Finance : Does Central and Eastern Europe Cope with the Global Financial Crisis? : 27-28 September 2012, Bratislava, Slovak Republic

ISBN

978-80-225-3527-4

ISSN

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e-ISSN

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Počet stran výsledku

11

Strana od-do

135-145

Název nakladatele

Ekonóm

Místo vydání

Bratislava

Místo konání akce

Bratislava

Datum konání akce

27. 9. 2012

Typ akce podle státní příslušnosti

EUR - Evropská akce

Kód UT WoS článku

000318886500011