IDEAS home Printed from https://ideas.repec.org/a/ids/intjaf/v7y2017i1p31-48.html
   My bibliography  Save this article

Stock market crashes shocks and real economy in Tunisia

Author

Listed:
  • Haifa Hammami
  • Younes Boujelbene

Abstract

Our paper analyses the effect of stock market crashes shocks on the real economy in Tunisia using the vector autoregressive (VAR) model. On the one hand, the impulse response analysis shows that the real investment growth rate negatively reacts to stock market crashes shocks. On the other hand, the variance decomposition results suggest that the stock market crashes shocks explain a larger proportion of the variability in real investment growth rate. In contrast, the real industrial production growth rate, the real GDP growth rate and the real private consumption growth rate are only a little sensitive to Tunisian stock market crashes shocks.

Suggested Citation

  • Haifa Hammami & Younes Boujelbene, 2017. "Stock market crashes shocks and real economy in Tunisia," International Journal of Accounting and Finance, Inderscience Enterprises Ltd, vol. 7(1), pages 31-48.
    • Handle: RePEc:ids:intjaf:v:7:y:2017:i:1:p:31-48
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=83929
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Roger Farmer, 2012. "The Stock Market Crash of 2008 Caused the Great Recession," 2012 Meeting Papers 145, Society for Economic Dynamics.
    2. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions," Post-Print halshs-00754434, HAL.
    3. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions -super-1," CESifo Economic Studies, CESifo Group, vol. 56(4), pages 627-648, December.
    4. repec:hal:spmain:info:hdl:2441/44p5b18ktf9akqdlpcqbsctlcs is not listed on IDEAS
    5. Robert J. Barro, 2001. "Economic Growth in East Asia Before and After the Financial Crisis," NBER Working Papers 8330, National Bureau of Economic Research, Inc.
    6. Jean-Baptiste Gossé & Cyriac Guillaumin, 2010. "L'impact des chocs externes sur et dans la zone euro : un modèle VAR structurel," Working Papers hal-00493384, HAL.
    7. Frederic S. Mishkin & Eugene N. White, 2002. "U.S. Stock Market Crashes and Their Aftermath: Implications for Monetary Policy," NBER Working Papers 8992, National Bureau of Economic Research, Inc.
    8. Harding, Don & Pagan, Adrian, 2002. "Dissecting the cycle: a methodological investigation," Journal of Monetary Economics, Elsevier, vol. 49(2), pages 365-381, March.
    9. Michael Bordo & Barry Eichengreen & Daniela Klingebiel & Maria Soledad Martinez-Peria, 2001. "Is the crisis problem growing more severe?," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 16(32), pages 52-82.
    10. Frederic S. Mishkin, 1995. "Symposium on the Monetary Transmission Mechanism," Journal of Economic Perspectives, American Economic Association, vol. 9(4), pages 3-10, Fall.
    11. Milton Friedman, 1957. "A Theory of the Consumption Function," NBER Books, National Bureau of Economic Research, Inc, number frie57-1, June.
    12. Corinne Houizot & Hélène Baudchon & Catherine Mathieu & Francisco Serranito, 2000. "Plus-values, consommation et épargne. Une estimation de l'effet richesse aux États- Unis et au Royaume- Uni," Revue de l'OFCE, Programme National Persée, vol. 73(1), pages 197-240.
    13. Jean-Charles Bricongne & Jean-Marc Fournier & Vincent Lapègue & Olivier Monso, 2010. "De la crise financière à la crise économique. L’impact des perturbations financières de 2007 et 2008 sur la croissance de sept pays industrialisés," Économie et Statistique, Programme National Persée, vol. 438(1), pages 47-77.
    14. Edouard Challe & Xavier Ragot, 2010. "Aggregate Consumption in Times of Crisis: The Role of Financial Frictions," PSE-Ecole d'économie de Paris (Postprint) halshs-00944933, HAL.
    15. Milton Friedman, 1957. "Introduction to "A Theory of the Consumption Function"," NBER Chapters, in: A Theory of the Consumption Function, pages 1-6, National Bureau of Economic Research, Inc.
    16. Andre Cartapanis, 2004. "Le declenchement des crises de change : qu'avons-nous appris depuis dix ans ?," Economie Internationale, CEPII research center, issue 97, pages 5-48.
    17. Paul Krugman, 1999. "Balance Sheets, the Transfer Problem, and Financial Crises," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 6(4), pages 459-472, November.
    18. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    19. Farmer, Roger E.A., 2012. "The stock market crash of 2008 caused the Great Recession: Theory and evidence," Journal of Economic Dynamics and Control, Elsevier, vol. 36(5), pages 693-707.
    20. Martha Starr-McCluer, 2002. "Stock Market Wealth and Consumer Spending," Economic Inquiry, Western Economic Association International, vol. 40(1), pages 69-79, January.
    21. Gerhard Bry & Charlotte Boschan, 1971. "Foreword to "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs"," NBER Chapters, in: Cyclical Analysis of Time Series: Selected Procedures and Computer Programs, pages -1, National Bureau of Economic Research, Inc.
    22. Michael D. Bordo & Michael J. Dueker & David C. Wheelock, 2008. "Inflation, Monetary Policy and Stock Market Conditions," NBER Working Papers 14019, National Bureau of Economic Research, Inc.
    23. Domian, Dale L. & Louton, David A., 1997. "A threshold autoregressive analysis of stock returns and real economic activity," International Review of Economics & Finance, Elsevier, vol. 6(2), pages 167-179.
    24. Duchin, Ran & Ozbas, Oguzhan & Sensoy, Berk A., 2010. "Costly external finance, corporate investment, and the subprime mortgage credit crisis," Journal of Financial Economics, Elsevier, vol. 97(3), pages 418-435, September.
    25. Laurence Boone & Claude Giorno & Pete Richardson, 1998. "Stock Market Fluctuations and Consumption Behaviour: Some Recent Evidence," OECD Economics Department Working Papers 208, OECD Publishing.
    26. Gerhard Bry & Charlotte Boschan, 1971. "Cyclical Analysis of Time Series: Selected Procedures and Computer Programs," NBER Books, National Bureau of Economic Research, Inc, number bry_71-1, June.
    27. Mohamed Ben Abdallah & Kalidou Diallo, 2004. "Incidence des crises financières : une analyse empirique à partir des pays émergents," Cahiers de la Maison des Sciences Economiques bla04071, Université Panthéon-Sorbonne (Paris 1).
    28. repec:hal:spmain:info:hdl:2441/1784 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. German Forero-Laverde, 2016. "Are All Booms and Busts Created Equal? A New Methodology for Understanding Bull and Bear Stock Markets," UB School of Economics Working Papers 2016/339, University of Barcelona School of Economics.
    2. Bordo, Michael D. & Haubrich, Joseph G., 2010. "Credit crises, money and contractions: An historical view," Journal of Monetary Economics, Elsevier, vol. 57(1), pages 1-18, January.
    3. Araujo, Juliana D. & Li, Bin Grace & Poplawski-Ribeiro, Marcos & Zanna, Luis-Felipe, 2016. "Current account norms in natural resource rich and capital scarce economies," Journal of Development Economics, Elsevier, vol. 120(C), pages 144-156.
    4. Fayyaz Hussain & Mehak Ejaz, 2022. "Effectiveness of the Exchange Rate Channel in Monetary Policy Transmission in Pakistan (Article)," The Pakistan Development Review, Pakistan Institute of Development Economics, vol. 61(1), pages 45-67.
    5. Detken, Carsten & Adalid, Ramón, 2007. "Liquidity shocks and asset price boom/bust cycles," Working Paper Series 732, European Central Bank.
    6. Agnello, Luca & Nerlich, Carolin, 2012. "On the severity of economic downturns: Lessons from cross-country evidence," Economics Letters, Elsevier, vol. 117(1), pages 149-155.
    7. repec:spo:wpmain:info:hdl:2441/1784 is not listed on IDEAS
    8. Lucas Papademos, 2005. "Macroeconomic theory and monetary policy: the contributions of Franco Modigliani and the ongoing debate," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 58(233-234), pages 187-214.
    9. Grjebine, Thomas & Szczerbowicz, Urszula & Tripier, Fabien, 2018. "Corporate debt structure and economic recoveries," European Economic Review, Elsevier, vol. 101(C), pages 77-100.
    10. Athreya, Kartik B., 2014. "Big Ideas in Macroeconomics: A Nontechnical View," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262019736, December.
    11. Corinne Houizot & Hélène Baudchon & Catherine Mathieu & Francisco Serranito, 2000. "Plus-values, consommation et épargne," SciencePo Working papers Main hal-03458494, HAL.
    12. Michel Bordo & John Lando-Lane, 2013. "Does Expansionary Monetary Policy Cause Asset Price Booms? Some Historical and Empirical Evidence," Working Papers Central Bank of Chile 710, Central Bank of Chile.
    13. Michael D. Bordo & John S. Landon-Lane, 2010. "The Global Financial Crisis of 2007-08: Is it Unprecedented?," NBER Working Papers 16589, National Bureau of Economic Research, Inc.
    14. repec:hal:spmain:info:hdl:2441/1784 is not listed on IDEAS
    15. Juan Carlos Castro Fernández & Juan Carlos Castro Fernández, 2022. "Big Recessions and Slow Recoveries," Documentos de Trabajo UEC 20128, Universidad Externado de Colombia.
    16. Michael D. Bordo & John Landon-Lane, 2014. "Does Expansionary Monetary Policy Cause Asset Price Booms? Some Historical and Empirical Evidence," Central Banking, Analysis, and Economic Policies Book Series, in: Sofía Bauducco & Lawrence Christiano & Claudio Raddatz (ed.),Macroeconomic and Financial Stability: challenges for Monetary Policy, edition 1, volume 19, chapter 3, pages 61-116, Central Bank of Chile.
    17. repec:spo:wpecon:info:hdl:2441/1784 is not listed on IDEAS
    18. Corinne Houizot & Hélène Baudchon & Catherine Mathieu & Francisco Serranito, 2000. "Plus-values, consommation et épargne. Une estimation de l'effet richesse aux États- Unis et au Royaume- Uni," Revue de l'OFCE, Programme National Persée, vol. 73(1), pages 197-240.
    19. Boivin, Jean & Kiley, Michael T. & Mishkin, Frederic S., 2010. "How Has the Monetary Transmission Mechanism Evolved Over Time?," Handbook of Monetary Economics, in: Benjamin M. Friedman & Michael Woodford (ed.), Handbook of Monetary Economics, edition 1, volume 3, chapter 8, pages 369-422, Elsevier.
    20. Pagan, Adrian & Robinson, Tim, 2014. "Methods for assessing the impact of financial effects on business cycles in macroeconometric models," Journal of Macroeconomics, Elsevier, vol. 41(C), pages 94-106.
    21. Teimouri, Sheida & Dutta, Nabamita, 2016. "Investment and bank credit recovery after banking crises," Journal of Financial Stability, Elsevier, vol. 26(C), pages 306-327.
    22. Mai, Nhat Chi, 2014. "Monetary transmission mechanism analysis in a small, open economy: the case of Vietnam," OSF Preprints ybc8p, Center for Open Science.
    23. Kannan, Prakash, 2012. "Credit conditions and recoveries from financial crises," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 930-947.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:intjaf:v:7:y:2017:i:1:p:31-48. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=231 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.