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Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe

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  • Hubert Wisniewski

    (Uniwersytet Warszawski, Wydzial Zarzadzania)

Abstract

The aim of this article is an empirical verification of the impact of national macroeconomic variables on stock market indices. To investigate these relationships, three estimators: DFE, MG and PMG were used. The study used data from twenty OECD countries. The macroeconomic variables used included: industrial production, inflation, unemployment rate, exchange rate, short- and long-term interest rates. The estimation brought interesting results for the different macroeconomic variables, depending on the type of short-run or long-run relationships.

Suggested Citation

  • Hubert Wisniewski, 2017. "Panelowa weryfikacja wplywu zmiennych makroekonomicznych na indeksy gieldowe," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 15(66), pages 162-177.
    • Handle: RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:162-177
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    References listed on IDEAS

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    More about this item

    Keywords

    macroeconomic variables; stock indices; panel data; short- and long-run relationship; DFE; MG and PMG estimators.;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy

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