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Money, Stock Prices and Central Banks - A Cointegrated VAR Analysis (Hardcover, Edition.)
Loot Price: R4,398
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Money, Stock Prices and Central Banks - A Cointegrated VAR Analysis (Hardcover, Edition.)
Series: Contributions to Economics
Expected to ship within 12 - 17 working days
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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.
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