Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2180062
Macroeconomics and the Spanish stock market, impact-response analysis
Maria Botey-Fullat
Cristina Marín-Palacios
Pedro Arias-Martín
Sažetak
The aim of this paper is to identify potential causal relationships
between macroeconomic variables and the stock market in Spain.
Numerous articles recognize the influence of macroeconomic variables
on the stock market and value this knowledge as essential
for good investment management. However, there are very few
empirical studies that justify the influence of disaggregated
macroeconomic variables on the stock market in Spain and vice
versa. This article uses the general index of the Madrid Stock
Exchange as a proxy variable of the stock market and numerous
macroeconomic variables, analyzing monthly data from January
2001 to December 2020 from various published data sources. A
descriptive analysis is carried out and a vector autoregressive
model (VAR) is applied. Finally, the causality is analyzed identifying
the transmission of effects between them. The results confirm
the impact of lagged interest rate, monetary aggregate M1 and
unemployment rate on the stock market but also identify new
features, such as the influence of the stock market on the interest
rate, industrial production index, manufacturing activity index and
economic sentiment index. This research is useful for Public
Administration to detect possible risks in the economy, and it
enables investors to better manage their investments.
Ključne riječi
Macroeconomic variables; stock market; VAR model; causality granger; Spain
Hrčak ID:
306538
URI
Datum izdavanja:
31.3.2023.
Posjeta: 136 *