Money, stock prices and central Banks: a cointegrated VAR analysis
Gespeichert in:
| 1. Verfasser: | |
|---|---|
| Format: | Buch |
| Sprache: | English |
| Veröffentlicht: |
Berlin [u.a.]
Physica-Verl.
2011
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| Schriftenreihe: | Contributions to Economics
|
| Schlagworte: | |
| Online-Zugang: | Inhaltstext Inhaltsverzeichnis |
| Beschreibung: | XXXVI, 457 S. graph. Darst. |
| ISBN: | 9783790826463 3790826464 |
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| 245 | 1 | 0 | |a Money, stock prices and central Banks |b a cointegrated VAR analysis |c Marcel Wiedmann |
| 264 | 1 | |a Berlin [u.a.] |b Physica-Verl. |c 2011 | |
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IMAGE 1
CONTENTS
1 INTRODUCTION 1
1.1 CONTEXT, MOTIVATION AND OBJECTIVES 1
1.2 STRUCTURE 5
2 PREVIOUS RESEARCH 9
2.1 MONEY AND STOCK PRICES 9
2.1.1 HISTORICAL OVERVIEW 9
2.1.2 RECENT RESEARCH 12
2.1.3 RESEARCH OF MONEY AND STOCK PRICES IN COINTEGRATED VAR MODELS ON A
NATIONAL LEVEL 14 2.2 ACADEMIC VOID 16
3 MONEY AND STOCK PRICES: ECONOMIC THEORY 19
3.1 CHAPTER OVERVIEW 19
3.2 EFFECTS OF MONEY ON STOCK PRICES 20
3.2.1 EFFECTS INITIATED BY CHANGES IN THE QUANTITY OF MONEY 20 3.2.2
EFFECTS INITIATED BY CHANGES IN THE PRICE OF MONEY 23 3.2.3 EFFECTS
INITIATED BY CHANGES IN EITHER QUANTITY OR PRICE OF MONEY 25
3.3 EFFECTS OF STOCK PRICES ON MONEY DEMAND 29
3.3.1 MONEY DEMAND 29
3.3.2 MONEY DEMAND AUGMENTED WITH STOCK PRICES 31 3.4 CONCLUSION 32
4 MONETARY LIQUIDITY AND INTERNATIONAL CAPITAL FLOWS 33
4.1 CHAPTER OVERVIEW 33
4.2 MONETARY LIQUIDITY VERSUS MARKET LIQUIDITY 34
4.3 THE CONNECTION BETWEEN MONEY STOCK AND INTEREST RATES 34 4.4
MONETARY AGGREGATES 36
4.4.1 MONETARY LIQUIDITY CREATION 36
BIBLIOGRAFISCHE INFORMATIONEN HTTP://D-NB.INFO/1008460419
DIGITALISIERT DURCH
IMAGE 2
CONTENTS
4.4.2 NARROW VERSUS BROAD MONEY 38
4.4.3 TOTAL LIQUIDITY VERSUS EXCESS LIQUIDITY 40
4.5 INTEREST RATES 41
4.6 NATIONAL VERSUS GLOBAL FOCUS 43
4.6.1 INTERNATIONAL ECONOMIC AND FINANCIAL INTEGRATION 43 4.6.2
AGGREGATION ISSUES AND IMPORTANCE OF COUNTRY-LEVEL ANALYSIS 45
4.6.3 INTERNATIONAL CAPITAL ROWS 46
4.7 CONCLUSION 53
EMPIRICAL ANALYSIS: GENERAL REMARKS 55
5.1 ECONOMETRIC APPROACH: THE COINTEGRATED VAR FRAMEWORK 55
5.1.1 METHODOLOGICAL MOTIVATION 55
5.1.2 THE COINTEGRATED VAR MODEL 57
5.2 INTRODUCTION TO POTENTIAL LONG-RUN RELATIONS BETWEEN THE ECONOMIC
VARIABLES 61
5.2.1 NECESSARY ECONOMIC VARIABLES 61
5.2.2 POTENTIAL LONG-RUN RELATIONS BETWEEN THE ECONOMIC VARIABLES 62
5.2.3 SUMMARY OF POTENTIAL COINTEGRATION RELATIONS 70
EMPIRICAL ANALYSIS BY COUNTRY 75
6.1 CHAPTER OVERVIEW 75
6.2 UNITED STATES OF AMERICA: QUARTERLY DATA 76
6.2.1 MODEL SPECIFICATION 76
6.2.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 89
6.2.3 SHORT-RUN DYNAMICS 100
6.2.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 104 6.2.5 CONCLUSION 106
6.3 EURO AREA: MONTHLY DATA 109
6.3.1 MODEL SPECIFICATION 109
6.3.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 117
6.3.3 SHORT-RUN DYNAMICS 127
6.3.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 130 6.3.5 CONCLUSION 132
6.4 JAPAN: QUARTERLY DATA 135
6.4.1 MODEL SPECIFICATION 135
6.4.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 143
6.4.3 SHORT-RUN DYNAMICS 152
6.4.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 155 6.4.5 CONCLUSION 158
6.5 UNITED KINGDOM: QUARTERLY DATA 160
6.5.1 MODEL SPECIFICATION 160
6.5.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 167
IMAGE 3
CONTENTS IX
6.5.3 SHORT-RUN DYNAMICS 175
6.5.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 178 6.5.5 CONCLUSION 180
6.6 AUSTRALIA: QUARTERLY DATA 182
6.6.1 MODEL SPECIFICATION 182
6.6.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 190
6.6.3 SHORT-RUN DYNAMICS 198
6.6.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 201 6.6.5 CONCLUSION 203
6.7 SOUTH KOREA: QUARTERLY DATA 205
6.7.1 MODEL SPECIFICATION 205
6.7.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 214
6.7.3 SHORT-RUN DYNAMICS 223
6.7.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 226 6.7.5 CONCLUSION 228
6.8 THAILAND: QUARTERLY DATA 230
6.8.1 MODEL SPECIFICATION 230
6.8.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 239
6.8.3 SHORT-RUN DYNAMICS 247
6.8.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 249 6.8.5 CONCLUSION 251
6.9 BRAZIL: QUARTERLY DATA 253
6.9.1 MODEL SPECIFICATION 253
6.9.2 IDENTIFICATION OF THE LONG-RUN STRUCTURE 261
6.9.3 SHORT-RUN DYNAMICS 268
6.9.4 THE LONG-RUN IMPACT OF THE COMMON TRENDS 270 6.9.5 CONCLUSION 272
7 SUMMARY OF EMPIRICAL ANALYSIS AND POLICY IMPLICATIONS 275 7.1
EMPIRICAL FINDINGS OF MAIN HYPOTHESES: CROSS-COUNTRY COMPARISONS 275
7.2 POLICY IMPLICATIONS 284
7.2.1 MONETARY POLICY: CURRENT STATE 284
7.2.2 MONETARY POLICY AND ASSET PRICES: RECOMMENDATIONS 288
8 CONCLUDING REMARKS 297
A DETAILS ON THE CALCULATION OF THE CAPITAL FLOWS TIME SERIES 301
B ADDITIONAL INFORMATION OF EMPIRICAL ANALYSIS 305
B. 1 UNITED STATES OF AMERICA: QUARTERLY DATA 305
B.I.I DATA SOURCES (TABLE B.I) 305
B.I.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.I) 307
IMAGE 4
CONTENTS
B.I.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 4 IMPOSED (FIGS. B.2, B.3, B.4,
AND B.5) 308
B.1.4 THE PARTITIONED UNRESTRICTED II-MATRICES (TABLE B.2) 310 B. 1.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 311 B.I.6 GRAPHS OF
THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN STRUCTURE (FIG.
B.6) 312
B. 1.7 TESTS FOR PARAMETER CONSTANCY OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.7, B.8, B.9, B.10, B.LL,B.12,B.13,ANDB.14) 313
B. 1.8 THE IDENTIFIED LONG-RUN STRUCTURE WITH WEAK EXOGENEITY IMPOSED
(TABLE B.4) 321
B. 1.9 THE LONG-RUN IMPACT OF THE COMMON TRENDS WITH WEAK EXOGENEITY
IMPOSED (TABLE B.5) 322
B.2 EURO AREA: MONTHLY DATA 323
B.2.1 DATA SOURCES (TABLE B.6) 323
B.2.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B. 15) 324
B.2.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R - 5 IMPOSED (FIGS. B.16, B.17,
B.18,ANDB.19) 325
B.2.4 THE PARTITIONED UNRESTRICTED RI-MATRICES (TABLE B.7) 327 B.2.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 328
B.2.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.20) 330 B.2.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS. B.21, B.22, B.23,
B.24, B.25, B.26, B.27, B.28, B.29, AND B.30) 331 B.2.8 THE IDENTIFIED
LONG-RUN STRUCTURE WITH WEAK EXOGENEITY IMPOSED (TABLE B.9) 341
B.2.9 THE LONG-RUN IMPACT OF THE COMMON TRENDS WITH WEAK EXOGENEITY
IMPOSED (TABLE B. 10) 342 B.3 JAPAN: QUARTERLY DATA 343
B.3.1 DATA SOURCES (TABLE B.I 1) 343
B.3.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.31) 344
B.3.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R - A IMPOSED (FIGS. B.32, B.33, B.34,
AND B.35) 345
B .3.4 THE PARTITIONED UNRESTRICTED N -MATRICES (TABLE B. 12) 347
IMAGE 5
CONTENTS
B.3.5 RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 348
B.3.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.36) 350 B.3.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS. B.37, B.38, B.39,
B.40,B.41,B.42, B.43, AND B.44) 351
B.4 UNITED KINGDOM: QUARTERLY DATA 359
B.4.1 DATA SOURCES (TABLE B. 14) 359
B.4.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.45) 360
B.4.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 3 IMPOSED (FIGS. B.46, B.47, B.48,
AND B.49) 361
B.4.4 THE PARTITIONED UNRESTRICTED IL-MATRICES (TABLE B. 15) 363 B.4.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 364
B.4.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.50) 365 B.4.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS.B.51, B.52, B.53,
B.54, B.55, AND B.56) 366
B.4.8 THE IDENTIFIED LONG-RUN STRUCTURE WITH WEAK EXOGENEITY IMPOSED
(TABLE B. 17) 372
B.4.9 THE LONG-RUN IMPACT OF THE COMMON TRENDS WITH WEAK EXOGENEITY
IMPOSED (TABLE B. 18) 372 B.5 AUSTRALIA: QUARTERLY DATA 373
B.5.1 DATA SOURCES (TABLE B. 19) 373
B.5.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.57) 374
B.5.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 3 IMPOSED (FIGS. B.58,
B.59,B.60,ANDB.61) 375
B.5.4 THE PARTITIONED UNRESTRICTED N-MATRICES (TABLE B.20) 377 B.5.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 378
B.5.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.62) 379 B.5.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS. B.63, B.64, B.65,
B.66, B.67, AND B.68) 380
B.6 SOUTH KOREA: QUARTERLY DATA 386
B.6.1 DATA SOURCES (TABLE B.22) 386
IMAGE 6
CONTENTS
B.6.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.69) 387
B.6.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 4 IMPOSED (FIGS. B.70, B.71,B.72,
ANDB.73) 388
B.6.4 THE PARTITIONED UNRESTRICTED IT-MATRICES (TABLE B.23) 390 B.6.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 391
B.6.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.74) 393 B.6.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS. B.75, B.76, B.77,
B.78,B.79,B.80,B.81,ANDB.82) 394
B.7 THAILAND: QUARTERLY DATA 402
B.7.1 DATA SOURCES (TABLE B.25) 402
B.7.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.83) 403
B.7.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 3 IMPOSED (FIGS. B.84, B.85, B.86,
AND B.87) 404
B.7.4 THE PARTITIONED UNRESTRICTED FI-MATRICES (TABLE B.26) 406 B.7.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 407
B.7.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B.88) 408 B.7.7 TESTS FOR PARAMETER CONSTANCY OF THE
IDENTIFIED LONG-RUN STRUCTURE (FIGS. B.89, B.90, B.91,
B.92, B.93, AND B.94) 409
B.7.8 THE IDENTIFIED LONG-RUN STRUCTURE WITH WEAK EXOGENEITY IMPOSED
(TABLE B.28) 415
B.7.9 THE LONG-RUN IMPACT OF THE COMMON TRENDS WITH WEAK EXOGENEITY
IMPOSED (TABLE B.29) 415 B.8 BRAZIL: QUARTERLY DATA 416
B.8.1 DATA SOURCES (TABLE B.30) 416
B.8.2 GRAPHS OF THE COINTEGRATING RELATIONS OF THE UNRESTRICTED MODEL
(FIG. B.95) 417
B.8.3 FORWARD AND BACKWARD RECURSIVE TESTS FOR PARAMETER CONSTANCY OF
THE UNIDENTIFIED SYSTEM WITH RANK R = 3 IMPOSED (FIGS. B.96, B.97, B.98,
AND B.99) 418
B.8.4 THE PARTITIONED UNRESTRICTED RI-MATRICES (TABLE B.31) 420 B.8.5
RANK CONDITIONS OF THE IDENTIFIED LONG-RUN STRUCTURE 421
IMAGE 7
CONTENTS XIII
B.8.6 GRAPHS OF THE COINTEGRATING RELATIONS OF THE IDENTIFIED LONG-RUN
STRUCTURE (FIG. B. 100) 422
B.8.7 TESTS FOR PARAMETER CONSTANCY OF THE IDENTIFIED LONG-RUN STRUCTURE
(FIGS. B.101,B.102, B.103,B.104,B.105,ANDB.106) 423
C IMPACT OF MACRO VARIABLES ON EACH OTHER: SUMMARY TABLES 429
REFERENCES 439
INDEX 453 |
| any_adam_object | 1 |
| author | Wiedmann, Marcel |
| author_facet | Wiedmann, Marcel |
| author_role | aut |
| author_sort | Wiedmann, Marcel |
| author_variant | m w mw |
| building | Verbundindex |
| bvnumber | BV036878029 |
| classification_rvk | QK 622 |
| ctrlnum | (OCoLC)698529660 (DE-599)DNB1008460419 |
| dewey-full | 332.6322201519536 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.6322201519536 |
| dewey-search | 332.6322201519536 |
| dewey-sort | 3332.6322201519536 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Book |
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| genre | 1\p (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV036878029 |
| illustrated | Illustrated |
| indexdate | 2024-07-20T10:54:17Z |
| institution | BVB |
| isbn | 9783790826463 3790826464 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-020793489 |
| oclc_num | 698529660 |
| open_access_boolean | |
| owner | DE-355 DE-BY-UBR DE-188 |
| owner_facet | DE-355 DE-BY-UBR DE-188 |
| physical | XXXVI, 457 S. graph. Darst. |
| publishDate | 2011 |
| publishDateSearch | 2011 |
| publishDateSort | 2011 |
| publisher | Physica-Verl. |
| record_format | marc |
| series2 | Contributions to Economics |
| spelling | Wiedmann, Marcel Verfasser aut Money, stock prices and central Banks a cointegrated VAR analysis Marcel Wiedmann Berlin [u.a.] Physica-Verl. 2011 XXXVI, 457 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Contributions to Economics Liquidität (DE-588)4035908-6 gnd rswk-swf Kapitalimport (DE-588)4073215-0 gnd rswk-swf Internationaler Vergleich (DE-588)4120509-1 gnd rswk-swf Vektor-autoregressives Modell (DE-588)4288533-4 gnd rswk-swf Aktienkurs (DE-588)4141736-7 gnd rswk-swf Geldmenge (DE-588)4132844-9 gnd rswk-swf Kointegration (DE-588)4347470-6 gnd rswk-swf 1\p (DE-588)4113937-9 Hochschulschrift gnd-content Aktienkurs (DE-588)4141736-7 s Liquidität (DE-588)4035908-6 s Geldmenge (DE-588)4132844-9 s Kapitalimport (DE-588)4073215-0 s Kointegration (DE-588)4347470-6 s Vektor-autoregressives Modell (DE-588)4288533-4 s Internationaler Vergleich (DE-588)4120509-1 s DE-604 X:MVB text/html http://deposit.dnb.de/cgi-bin/dokserv?id=3599076&prov=M&dok_var=1&dok_ext=htm Inhaltstext DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020793489&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Wiedmann, Marcel Money, stock prices and central Banks a cointegrated VAR analysis Liquidität (DE-588)4035908-6 gnd Kapitalimport (DE-588)4073215-0 gnd Internationaler Vergleich (DE-588)4120509-1 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Aktienkurs (DE-588)4141736-7 gnd Geldmenge (DE-588)4132844-9 gnd Kointegration (DE-588)4347470-6 gnd |
| subject_GND | (DE-588)4035908-6 (DE-588)4073215-0 (DE-588)4120509-1 (DE-588)4288533-4 (DE-588)4141736-7 (DE-588)4132844-9 (DE-588)4347470-6 (DE-588)4113937-9 |
| title | Money, stock prices and central Banks a cointegrated VAR analysis |
| title_auth | Money, stock prices and central Banks a cointegrated VAR analysis |
| title_exact_search | Money, stock prices and central Banks a cointegrated VAR analysis |
| title_full | Money, stock prices and central Banks a cointegrated VAR analysis Marcel Wiedmann |
| title_fullStr | Money, stock prices and central Banks a cointegrated VAR analysis Marcel Wiedmann |
| title_full_unstemmed | Money, stock prices and central Banks a cointegrated VAR analysis Marcel Wiedmann |
| title_short | Money, stock prices and central Banks |
| title_sort | money stock prices and central banks a cointegrated var analysis |
| title_sub | a cointegrated VAR analysis |
| topic | Liquidität (DE-588)4035908-6 gnd Kapitalimport (DE-588)4073215-0 gnd Internationaler Vergleich (DE-588)4120509-1 gnd Vektor-autoregressives Modell (DE-588)4288533-4 gnd Aktienkurs (DE-588)4141736-7 gnd Geldmenge (DE-588)4132844-9 gnd Kointegration (DE-588)4347470-6 gnd |
| topic_facet | Liquidität Kapitalimport Internationaler Vergleich Vektor-autoregressives Modell Aktienkurs Geldmenge Kointegration Hochschulschrift |
| url | http://deposit.dnb.de/cgi-bin/dokserv?id=3599076&prov=M&dok_var=1&dok_ext=htm http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=020793489&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| work_keys_str_mv | AT wiedmannmarcel moneystockpricesandcentralbanksacointegratedvaranalysis |