The relationship of stock returns, interest rates, economic activity and inflation: Evidence from Latin America
AbstractThis study employs a four-variable vector autoregressive (VAR) model to investigate the relationship of stock returns, inflation, interest rates and real economic activity. The sample consists of four Latin American countries from January of 1995 to December of 2005. Our results indicate heterogeneous patterns for the relationship of financial and economic variables across countries. We also show that monetary policy shocks seem to affect Latin American stock markets. That evidence is rather weak, though. On the other hand, there is no significant relationship between stock markets and real activity and inflation.
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Bibliographic InfoArticle provided by Fucape Business School in its journal Brazilian Business Review.
Volume (Year): 5 (2008)
Issue (Month): 1 (January)
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Postal: Fucape Business School Brazilian Business Review Av. Fernando Ferrari, 1358, Boa Vista CEP 29075-505 Vitória-ES
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Fax: +55 27 4009-4422
Web page: http://www.bbronline.com.br/
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vector autoregression; dynamic relationships; stock market.;
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