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Journal of Accounting and Management, Vol. V No. 1, 2015.

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INTERDEPENDENCE OF INDUSTRIAL PRODUCTION INDEX AND CAPITAL MARKET IN CROATIA: VAR MODEL

Bojan Tomić orcid id orcid.org/0000-0002-2305-2845 ; HEP – Operator distribucijskog sustava, Elektra Zagreb d.o.o., Hrvatska Effectus učilište – Visoka škola za financije i pravo, Zagreb, Hrvatska
Andrijana Sesar orcid id orcid.org/0000-0003-3561-7820 ; Raiffeisenbank Austria d.d., Zagreb, Hrvatska Effectus učilište – Visoka škola za financije i pravo, Zagreb, Hrvatska

Puni tekst: engleski pdf 312 Kb

str. 17-32

preuzimanja: 549

citiraj

Sažetak

Industrial production is an important indicator of future trends in each of the economy including the Croatian economy. On the other hand, as a preceding factor of the economy dynamics changes, the equity indices of the capital market can be used. Due to different considerations and interpretations of their mutual initial causation, the paper analyzes the interdependence between the main index Croatian capital market CROBEX and indicators of total industrial production of the Republic of Croatian. Also, in the model was introduced exchange parity euro dollar as an additional variable rate which is considered to have a significant influence on the competitiveness of the Croatian economy, as well as the capital market. The theoretical premise about the interaction of the foreign exchange rate and capital markets has been considered in the context of the "flow-oriented" and "stock-oriented" model. Aiming to determine the interdependence between aforementioned variables, the analysis was carried out using the vector autoregression model (VAR). The Granger causality test was conducted as part of the VAR model, as well as the decomposition of variance in future periods and the impulse response function of relevant variables. The results of analysis indicate the existence of causality of the exchange rate to the index of industrial production, as well as the existence of causality of the index of industrial production to CROBEX index.

Ključne riječi

VAR model; causality; industrial production; CROBEX; the exchange rate

Hrčak ID:

143477

URI

https://hrcak.srce.hr/143477

Datum izdavanja:

30.6.2015.

Podaci na drugim jezicima: hrvatski

Posjeta: 2.062 *