Stefanescu, Razvan and Dumitriu, Ramona (2010): Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania. Published in: Proceedings of the International Conference on Economics and Administration, Bucharest, June 3 – 4, 2011 (15. May 2010): pp. 595-607.
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Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this relation was very weak before the crisis, when the Romanian stock market experienced an ascendant trend. Instead, it became quite significant during the crisis when the financial markets are very sensitive to the external stimuli and the monetary policy has to take into consideration the impact of interest rates on the stock prices.
|Item Type:||MPRA Paper|
|Original Title:||Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania|
|English Title:||Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania|
|Keywords:||Granger causality, Vector Autoregression, Romanian stock market, interest rates, global crisis|
|Subjects:||E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E43 - Interest Rates: Determination, Term Structure, and Effects
G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy
G - Financial Economics > G1 - General Financial Markets > G10 - General
|Depositing User:||Razvan Stefanescu|
|Date Deposited:||17. Feb 2012 10:43|
|Last Modified:||12. Feb 2013 08:07|
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