Panelowa weryfikacja wpływu zmiennych makroekonomicznych na indeksy giełdowe

• Authors: Wiśniewski Hubert

Title variants

EN

Panel Verification of the Impact of Macroeconomic Variables on Stock Market Indices

• Languages of publication: PL EN

Abstracts

PL

Celem artykułu jest empiryczna weryfikacja wpływu krajowych zmiennych makroekonomicznych na indeksy giełdowe. Do zbadania tych zależności wykorzystano trzy różne estymatory: DFE, MG i PMG. W badaniu wykorzystano dane dotyczące dwudziestu krajów należących do OECD. Natomiast wśród wykorzystanych zmiennych makroekonomicznych były: produkcja przemysłowa, inflacja, bezrobocie, kurs walutowy, krótkoi długoterminowa stopa procentowa. W wyniku estymacji otrzymano interesujące rezultaty w zakresie poszczególnych zmiennych makroekonomicznych czy rodzaju zależności (krótko- lub długookresowa).

EN

The aim of this article is an empirical verification of the impact of national macroeconomic variables on stock market indices. To investigate these relationships, three estimators: DFE, MG and PMG were used. The study used data from twenty OECD countries. The macroeconomic variables used included: industrial production, inflation, unemployment rate, exchange rate, short- and long-term interest rates. The estimation brought interesting results for the different macroeconomic variables, depending on the type of short-run or long-run relationships.

Keywords

PL

zmienne makroekonomiczne; indeksy giełdowe; dane panelowe,; zależności krótkodługookresowe estymatory DFE; MG i PMG

EN

macroeconomic variables; stock indices; panel data; short- and long-run relationship; DFE; MG and PMG estimators

• Publisher: Uniwersytet Warszawski. Wydział Nauk Ekonomicznych
• Journal: Problemy Zarządzania
• Year: 2017
• Issue: 1/2017 (66), t.2
• Pages: 162 – 177

Dates

published

2017-05-30

Contributors

author

Wiśniewski Hubert

• Uniwersytet Warszawski, Wydział Zarządzania

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Identifiers

ISSN

1644-9584

DOI

10.7172/1644-9584.66.10