Money, Stock Prices and Central Banks A Cointegrated VAR Analysis
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 con
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Marcel Wiedmann
Money, Stock Prices and Central Banks A Cointegrated VAR Analysis
Marcel Wiedmann McKinsey and Company Birkenwaldstraße 149 70191 Stuttgart Germany [email protected]
ISSN 1431-1933 ISBN 978-3-7908-2646-3 e-ISBN 978-3-7908-2647-0 DOI 10.1007/978-3-7908-2647-0 Springer Heidelberg Dordrecht London New York Library of Congress Control Number: 2011925994 c Springer-Verlag Berlin Heidelberg 2011 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilm or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer. Violations are liable to prosecution under the German Copyright Law. The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Cover design: WMXDesign GmbH, Heidelberg Printed on acid-free paper Physica-Verlag is a brand of Springer-Verlag Berlin Heidelberg Springer-Verlag is a part of Springer Science+Business Media (www.springer.com)
Acknowledgements
This book presents the results of my doctoral study. It would not have been possible without the encouragement, guidance and support of my dissertation supervisor Professor Dr. Ansgar Belke. I would also like to thank him for all the lively discussions related to the thesis and to current events. Our work together has always been a pleasure. I am also grateful to Professor Dr. Gerhard Wagenhals, who acted as my secondary advisor and Professor Dr. Hans-Peter Burghof for serving on my PhD committee. I am indebted to Professor Dr. Katarina Juselius and Professor Dr. Soren Johansen for hosting the Summer School in Econometrics at the University of Copenhagen. These three very intense weeks enabled me to apply the cointegrated VAR model to my data in a meaningful way and have buttressed my results. Thank you again, Katarina, for your enduring patience in responding to my follow-up questions, even long after the course had ended. My heartfelt gratitude also goes out to my friend Denise Möbius for lending me her organizational skills, which included, among others, the tedious but necessary tasks of creating the bibliography and ensuring proper formatting. You were an invaluable help. I also owe thanks to my friend Alexander Krieg for insightful discussions, Latex tutoring and providing the necessary distractions during the course of this project. On a more personal level, I wish to thank my parents for their support. Your being there makes everything so much easier. Most important
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