Interest Rates and Stock Prices: Evidence from Central and Eastern European Markets

被引：6

作者：

Stoica, Ovidiu ^{[1
]}

Nucu, Anca Elena ^{[1
]}

Diaconasu, Delia-Elena ^{[1
]}

机构：

[1] Alexandru Ioan Cuza Univ, Iasi, Romania

来源：

EMERGING MARKETS FINANCE AND TRADE | 2014年 / 50卷

关键词：

Central and Eastern Europe; short-term interest rate; stock prices; structural vector error correction model; MONETARY-POLICY SHOCKS; TRANSMISSION; INTEGRATION; COUNTRIES; MODEL;

D O I：

10.2753/REE1540-496X5004S403

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide empirical evidence regarding the responses of Central and Eastern European capital markets to monetary policy via domestic and international short-term interest rate shocks. The analysis is conducted using a four-variable structural vector error correction model identified by means of permanent-transitory restrictions. The results indicate a noticeable effect of the international interest rate on stock market indexes in the cases of the Czech Republic, Hungary, Poland, and Romania. Since no monetary policy autonomy exists in Bulgaria, Latvia, and Lithuania, we find support only for the inverse relationship between foreign interest rate and stock index prices.

引用

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页码：47 / 62

页数：16

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