Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets

被引：8
作者：
Stoica, Ovidiu [1 ]
Nucu, Anca Elena [1 ]
Diaconasu, Delia-Elena [1 ]
机构：
[1] Alexandru Ioan Cuza Univ, Iasi, Romania
来源：
EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷
关键词：
Central and Eastern Europe; short-term interest rate; stock prices; structural vector error correction model; MONETARY-POLICY SHOCKS; TRANSMISSION; INTEGRATION; COUNTRIES; MODEL;
D O I：
10.2753/REE1540-496X5004S403
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We provide empirical evidence regarding the responses of Central and Eastern European capital markets to monetary policy via domestic and international short-term interest rate shocks. The analysis is conducted using a four-variable structural vector error correction model identified by means of permanent-transitory restrictions. The results indicate a noticeable effect of the international interest rate on stock market indexes in the cases of the Czech Republic, Hungary, Poland, and Romania. Since no monetary policy autonomy exists in Bulgaria, Latvia, and Lithuania, we find support only for the inverse relationship between foreign interest rate and stock index prices.
引用
收藏
页码：47 / 62
页数：16
相关论文
共 19 条
[1]  
Abugri B.A., 2008, Int Rev Fin Anal, V17, P396, DOI 10.1016/j.irfa.2006.09.002
[2]   Monetary policy shocks in the new EU members: a VAR approach [J].
Anzuini, Alessio ;
Levy, Aviram .
APPLIED ECONOMICS, 2007, 39 (7-9) :1147-1161
[3]  
Balabanova Z., 2012, 5 U KONSTANZ
[4]   What explains the stock market's reaction to Federal Reserve Policy? [J].
Bernanke, BS ;
Kuttner, KN .
JOURNAL OF FINANCE, 2005, 60 (03) :1221-1257
[5]   Time-Varying Effects of Changes in the Interest Rate and the RMB Exchange Rate on the Stock Market of China: Evidence from the Long-Memory TVP-VAR Model [J].
Cao, Guangxi .
EMERGING MARKETS FINANCE AND TRADE, 2012, 48 :230-248
[6]  
Christiano LJ, 1999, HBK ECON, V15, P65
[7]  
Dhar S., 2000, 113 BANK ENGL
[8]   Financial structure and monetary policy transmission in transition countries [J].
Elbourne, A ;
de Haan, J .
JOURNAL OF COMPARATIVE ECONOMICS, 2006, 34 (01) :1-23
[9]   Modeling Monetary Policy Transmission in Acceding Countries: Vector Autoregression Versus Structural Vector Autoregression [J].
Elbourne, Adam ;
de Haan, Jakob .
EMERGING MARKETS FINANCE AND TRADE, 2009, 45 (02) :4-20
[10]  
European Forecasting Network, 2004, EUR ACC COUNTR
12