Macroeconomics and the Spanish stock market, impact-response analysis
Bibliographic Data
| ID | 15067152 |
|---|---|
| Authors | Maria Botey Fullat (0000-0002-9419-2554, Economics and Finance Department, ESIC University and ESIC Business & Marketing School, Madrid, Spain, corresponding author), Cristina Marín-Palacios (0000-0002-4631-1811, IT and New Technologies Department, ESIC University and ESIC Business & Marketing School, Madrid, Spain), Pedro Arias-Martín (0000-0001-7548-9603, Universidad Politécnica de Madrid) |
| Year | 2023 |
| Volume | 36 |
| Issue | 1 |
| Publication date | 2023-03-31 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Economic Research-Ekonomska Istraživanja (JOURNAL) |
| Journal identifiers | ISSN: 1331-677X • E-ISSN: 1848-9664 |
| Publisher | Informa UK Limited (PUBLISHER • GB) |
| DOI | 10.1080/1331677x.2023.2180062 |
| OpenAlex | W4323670395 |
| Language | EN |
| References cited | 55 |
The aim of this paper is to identify potential causal relationships between macroeconomic variables and the stock market in Spain. Numerous articles recognize the influence of macroeconomic variables on the stock market and value this knowledge as essential for good investment management. However, there are very few empirical studies that justify the influence of disaggregated macroeconomic variables on the stock market in Spain and vice versa. This article uses the general index of the Madrid Stock Exchange as a proxy variable of the stock market and numerous macroeconomic variables, analyzing monthly data from January 2001 to December 2020 from various published data sources. A descriptive analysis is carried out and a vector autoregressive model (VAR) is applied. Finally, the causality is analyzed identifying the transmission of effects between them. The results confirm the impact of lagged interest rate, monetary aggregate M1 and unemployment rate on the stock market but also identify new features, such as the influence of the stock market on the interest rate, industrial production index, manufacturing activity index and economic sentiment index. This research is useful for Public Administration to detect possible risks in the economy, and it enables investors to better manage their investments
Econometrics · Economics · Financial economics · Geography · Monetary economics · Stock market · Financial Markets and Investment Strategies · Housing Market and Economics · Monetary Policy and Economic Impact
Developments in the Study of Cointegrated Economic Variables
Economic Forces and the Stock Market
Structural Vector Autoregressions With Nonnormal Residuals
Predicting U.S. Recessions
The Relation Between Unemployment and the Rate of Change of Money Wage Rates in the United Kingdom, 1861–1957 1
The Purchasing Power of Money
| Citation velocity | historical |
|---|---|
| Highly cited | No |