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

Metadaten
Verfasserangaben:	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
Titel des übergeordneten Werkes (Deutsch):	Working paper series / Institute for Monetary and Financial Stability ; 22
Schriftenreihe (Bandnummer):	Working paper series / Institute for Monetary and Financial Stability (22)
Dokumentart:	Arbeitspapier
Sprache:	Englisch
Jahr der Fertigstellung:	2009
Jahr der Erstveröffentlichung:	2009
Veröffentlichende Institution:	Universitätsbibliothek Johann Christian Senckenberg
Datum der Freischaltung:	17.09.2009
Freies Schlagwort / Tag:	current account fluctuations; equity prices; panel vector autoregression
GND-Schlagwort:	Aktienkurs; Leistungsbilanz; Geschichte 1980-2007
HeBIS-PPN:	218608993
Institute:	Wissenschaftliche Zentren und koordinierte Programme / Institute for Monetary and Financial Stability (IMFS)
DDC-Klassifikation:	3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
JEL-Klassifikation:	C Mathematical and Quantitative Methods / C3 Multiple or Simultaneous Equation Models / C33 Models with Panel Data
Lizenz (Deutsch):	Deutsches Urheberrecht

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