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Please use this identifier to cite or link to this item: http://bura.brunel.ac.uk/handle/2438/985

Title: Equity prices and the real economy - A vector error-correction approach
Authors: Barrell, R
Davis, EP
Keywords: Financial markets and the real economy, business cycles, monetary and fiscal policy
Publication Date: 2005
Publisher: Brunel University
Citation: Economics and Finance Working papers, Brunel University, 05-13
Abstract: We assess the impact of equity prices on the level of output in the Europe Union economies and the US using Vector Error Correction (VECM) time series techniques. The distinction between impacts in bank based and equity market based economies is shown to be important, with equity prices having a greater impact on output in market-based economies. Share prices are shown to be largely autonomous in variance decompositions, whilst equity price do have a strong impact on output in the UK and US in their variance decompositions. An analysis of impulse responses suggests that large market based economies have more effective fiscal and monetary policy instruments.
URI: http://bura.brunel.ac.uk/handle/2438/985
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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