Cross-country evidence on the relation between equity prices and the current account
- This paper explores the relationship between equity prices and the current account for 17 industrialized countries in the period 1980-2007. Based on a panel vector autoregression, I compare the effects of equity price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have a limited impact, shocks to equity prices have sizeable effects. The results suggest that equity prices impact on the current account through their effects on real activity and exchange rates. Furthermore, shocks to exchange rates play a key role as well. Keywords: current account fluctuations, equity prices, panel vector autoregression
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| Author: | Tim Oliver Berg |
|---|---|
| URN: | urn:nbn:de:hebis:30-70526 |
| URL: | http://www.imfs-frankfurt.de/fileadmin/user_upload/pdf/Working%20Paper_22_09_Berg.pdf |
| Parent Title (German): | Working paper series / Institute for Monetary and Financial Stability ; 22 |
| Series (Serial Number): | Working paper series / Institute for Monetary and Financial Stability (22) |
| Document Type: | Working Paper |
| Language: | English |
| Year of Completion: | 2009 |
| Year of first Publication: | 2009 |
| Publishing Institution: | Universitätsbibliothek Johann Christian Senckenberg |
| Release Date: | 2009/09/17 |
| Tag: | current account fluctuations; equity prices; panel vector autoregression |
| GND Keyword: | Aktienkurs; Leistungsbilanz; Geschichte 1980-2007 |
| HeBIS-PPN: | 218608993 |
| Institutes: | Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS) |
| Dewey Decimal Classification: | 3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft |
| JEL-Classification: | C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data |
| Licence (German): |  Deutsches Urheberrecht |
