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Title: Stock market and economic growth: Evidence from three CEECs
Authors: Caporale, GM
Spagnolo, N
Keywords: Central and Eastern European countries (CEECs);GARCH model;Volatility spillovers
Issue Date: 2011
Publisher: Brunel University
Citation: Economics and Finance Working Paper, 11-16, Sep 2011
Abstract: This paper estimates a bivariate VAR-GARCH(1,1) model to examine linkages between stock market and economic growth in three CEEC countries (the Czech Republic, Hungary and Poland). The empirical findings suggest that there is unidirectional causality running from stock markets to growth in the levels, this linkage becoming stronger following the EU accession, which appears to be beneficial, presumably as a catalyst for institutional building and development. The same holds in most cases for volatility spillovers as well. In addition, Germany is confirmed to act as a locomotive for these countries, and a tight monetary policy is found to affect both economic and stock market growth adversely.
Description: Copyright @ 2011 Brunel University
Appears in Collections:Economics and Finance
Dept of Economics and Finance Research Papers

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