Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach

• Authors: Piotr Pietraszewski

Title variants

Badanie współzależności pomiędzy rynkiem akcji a poziomem aktywności gospodarczej w Polsce z wykorzystaniem metodologii VAR‑VECM

• Languages of publication: EN

Abstracts

EN

The paper discusses the links between stock market performance and real economic activity and presents results of an empirical inquiry into dynamic relationships between the main stock index quoted on the Warsaw Stock Exchange (WIG) and GDP in Poland over the years 1995–2019. In many empirical studies for highly developed countries not only short‑run dynamic interactions but also a long‑run cointegrating relationship between the stock index and output have been found. Previous studies for Poland reported mainly short‑run linkages between stock returns and changes of economic activity whereas the evidence for a long‑run cointegrating relationship is still quite scarce. In this paper, the VAR‑VECM methodology with the Johansen tests for cointegration is used to study a substantially longer quarterly data interval than has been investigated so far. Research results show that stock returns Granger‑cause GDP growth with up to three‑quarters lead. The evidence for the existence of a long‑term cointegrating relationship has also been found.

PL

W artykule omówiono związki pomiędzy koniunkturą giełdową a realną aktywnością gospodarczą oraz przedstawiono wyniki badania współzależności pomiędzy zmianami głównego indeksu akcji na GPW w Warszawie (WIG) oraz PKB w Polsce w latach 1995–2019. W wielu studiach empirycznych dla krajów wysoko rozwiniętych wykazano istnienie nie tylko dynamicznych interakcji krótkookresowych, ale również długoterminowej relacji kointegrującej pomiędzy poziomami indeksu i produktu. Dotychczasowe badania dla Polski wskazywały głównie na związki krótkookresowe pomiędzy stopami zwrotu z akcji a zmianami aktywności gospodarczej, podczas gdy dowody na istnienie długookresowej relacji kointegrującej są jak dotąd nieliczne. W artykule zastosowano metodologię VAR‑VECM oraz procedurę Johansena do badania kointegracji dla znacznie dłuższego szeregu danych kwartalnych niż w prowadzonych do tej pory badaniach. Badanie wykazało, że stopy zwrotu z akcji są przyczyną w sensie Grangera dla zmian PKB, przy czym wyprzedzenie w czasie sięga do trzech kwartałów. Znaleziono również dowody na istnienie długoterminowej relacji kointegrującej.

Keywords

EN

WIG; Gross Domestic Product; vector autoregression; cointegration; error correction model

PL

WIG; produkt krajowy brutto; autoregresja wektorowa; kointegracja; model korekty błędem; WIG; produkt krajowy brutto; autoregresja wektorowa; kointegracja; model korekty błędem

• Publisher: Uniwersytet Łódzki. Wydawnictwo Uniwersytetu Łódzkiego
• Journal: Acta Universitatis Lodziensis. Folia Oeconomica
• Year: 2020
• Volume: 3
• Issue: 348
• Pages: 65-89

Dates

published

2020-06-22

Contributors

author

Piotr Pietraszewski

• University of Łódź, Faculty of Economics and Sociology

• https://orcid.org/0000-0002-0589-0327

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Identifiers

DOI

10.18778/0208-6018.348.04