Causal Relationship between Stock Prices and Interest Rates: The Case of EU Countries

被引:0
作者
Stoica, Ovidiu [1 ]
Diaconasu, Delia-Elena [1 ]
机构
[1] Alexandru Ioan Cuza Univ, Iasi, Romania
来源
INNOVATION AND SUSTAINABLE COMPETITIVE ADVANTAGE: FROM REGIONAL DEVELOPMENT TO WORLD ECONOMIES, VOLS 1-5 | 2012年
关键词
stock prices; short-term interest rate; EU; Granger causality; financial crisis; MONETARY-POLICY; EXCHANGE-RATES; ASSET PRICES; MARKET; RETURNS; IMPACT;
D O I
暂无
中图分类号
F [经济];
学科分类号
02 ;
摘要
Taking into consideration the growth and EU accession of some countries in the last decade and the fact that monetary policy monitors the economic stability, and implicitly the financial stability, it is important to analyze how the monetary policy transmission mechanism is transmitted and embedded on stock markets. This article investigates the short- and long-term linkages between stock markets and interest rates in EU countries from January 2000 to February 2012. The analysis is carried out using co-integration tests and Granger causality test. The results reveal the existence of long and short term relationship between stock prices and interest rates. Moreover, on the long-run the comovement between interest rates and stock prices becomes stronger during crisis period, when compared with entire period.
引用
收藏
页码:1784 / 1794
页数:11
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