Interakcje między wskaźnikami makroekonomicznymi a indeksami giełdowymi w wybranych krajach

• Authors: Hubert Wiśniewski

Title variants

Interactions between macro-economic indicators and stock market indices in selected countries

• Languages of publication: PL

Abstracts

Celem artykułu jest empiryczna weryfikacja oddziaływania wielkości makroekonomicznych na indeks giełdowy przy wykorzystaniu dwóch technik ekonometrycznych - metodologii VAR będącej swego rodzaju standardem dla tej klasy badań i regresji na danych panelowych. Tego drugiego podejścia w kontekście takich badań autor w dostępnej literaturze nie spotkał. (fragment tekstu)

EN

The paper presents an empirical verification of selected macroeconomic va-riables interacting with stock index. Estimations were made using two econometric techniques. On the one hand the VAR methodology was used here, standard for this class of research, on the other hand a novel approach was used with panel data regression. The study was conducted in seven selected capital markets, which are at different stages of development. Due to the fact this gave an interesting range of results i.a. different signs of coefficients obtained for inflation, the exchange rate, depending on the range of markets for which estimates were made. (original abstract)

Keywords

PL

Wskaźniki makroekonomiczne; Indeks giełdowy; Statystyka międzynarodowa; Modele ekonometryczne

EN

Macroeconomic indicators; Stock market indexes; International statistics; Econometric models

• Publisher: Główny Urząd Statystyczny
• Journal: Wiadomości Statystyczne. The Polish Statistician
• Year: 2013
• Issue: nr 11
• Pages: 72-89

Contributors

author

Hubert Wiśniewski

• Credit Agricole Bank Polska S.A.

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