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The long-run relationship between the stock market and main macroeconomic variables in Poland

Managerial Economics

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Field Value
 
Title The long-run relationship between the stock market and main macroeconomic variables in Poland
 
Creator Czapkiewicz, Anna
Stachowicz, Marta
 
Subject

 
Description The investigation concerns the problem of whether some macroeconomic variables and the EUR/PLN exchange rate might affect the performance of the Warsaw Stock Exchange. The answer to this question can be obtained from a cointegration analysis. The advantage of testing for cointegration is the identification of a stable long-run relationship between the stock price index, some macroeconomic variables, and the EUR/PLN exchange rate, which can be implemented using various cointegration methodologies. Analysis of the response of one variable to an impulse of another variable is also performed to show the importance of a given variable in a system.
 
Publisher AGH University of Science and Technology Press.
 
Contributor
 
Date 2016-07-23
 
Type info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
Peer-reviewed Article
 
Format application/pdf
 
Identifier https://journals.agh.edu.pl/manage/article/view/2106
10.7494/manage.2016.17.1.7
 
Source Managerial Economics; Vol 17, No 1 (2016); 7
1898-1143
 
Language eng
 
Relation https://journals.agh.edu.pl/manage/article/view/2106/1543
 
Rights Copyright (c) 2016 Managerial Economics