Money, Stock Prices and Central Banks(Wiedmann)

A Cointegrated VAR Analysis
series:Contributions to Economics

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 …

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