The Impact of Stock Market Development on Inflation and Economic Growth of 16 Asian Countries: A Panel VAR Approach
AbstractEmpirical macroeconomists have investigated the possible link between the development of stock markets, economic growth, and inflation separately. Unlike earlier work, this paper investigates the nature of causal relations between these variables using a panel Granger causality test on a sample of 16 Asian countries over 1988-2012. Employing a panel vector autoregressive (VAR) model, our results also reveal that these variables are cointegrated, suggesting presence of a long-run equilibrium relationship among them.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Euro-American Association of Economic Development in its journal Applied Econometrics and International Development.
Volume (Year): 13 (2013)
Issue (Month): 1 ()
Contact details of provider:
Web page: http://www.usc.es/economet/eaa.htm
Find related papers by JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- O43 - Economic Development, Technological Change, and Growth - - Economic Growth and Aggregate Productivity - - - Institutions and Growth
- O53 - Economic Development, Technological Change, and Growth - - Economywide Country Studies - - - Asia including Middle East
- E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Shleifer, Andrei & Vishny, Robert W., 1986.
"Large Shareholders and Corporate Control,"
3606237, Harvard University Department of Economics.
- Thorsten Beck & Ross Levine, 2002.
"Stock Markets, Banks, and Growth: Panel Evidence,"
NBER Working Papers
9082, National Bureau of Economic Research, Inc.
- Barry Bosworth, 1975. "The Stock Market and the Economy," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 6(2), pages 527-300.
- James B. Ang, 2007.
"A Survey Of Recent Developments In The Literature Of Finance And Growth,"
Monash Economics Working Papers
03-07, Monash University, Department of Economics.
- James B. Ang, 2008. "A Survey Of Recent Developments In The Literature Of Finance And Growth," Journal of Economic Surveys, Wiley Blackwell, vol. 22(3), pages 536-576, 07.
- Fama, Eugene F, 1990. " Stock Returns, Expected Returns, and Real Activity," Journal of Finance, American Finance Association, vol. 45(4), pages 1089-1108, September.
- Levine, Ross, 1991. " Stock Markets, Growth, and Tax Policy," Journal of Finance, American Finance Association, vol. 46(4), pages 1445-65, September.
- Michael Bruno & William Easterly, 1995.
"Inflation Crises and Long-Run Growth,"
NBER Working Papers
5209, National Bureau of Economic Research, Inc.
- Adam, Christopher S. & Bevan, David L., 2005.
"Fiscal deficits and growth in developing countries,"
Journal of Public Economics,
Elsevier, vol. 89(4), pages 571-597, April.
- Kevin HjortshÃ¸j O'Rourke & Richard S. Grossman & Madalina A. Ursu, 2013. "A monthly stock exchange index for Ireland, 1864-1930," Economics Series Working Papers 120, University of Oxford, Department of Economics.
- Bhide, Amar, 1993. "The hidden costs of stock market liquidity," Journal of Financial Economics, Elsevier, vol. 34(1), pages 31-51, August.
- Valeriano F. García & Lin Liu, 1999. "Macroeconomic Determinants of Stock Market Development," Journal of Applied Economics, Universidad del CEMA, vol. 0, pages 29-59, May.
- Granger, C. W. J., 1981. "Some properties of time series data and their use in econometric model specification," Journal of Econometrics, Elsevier, vol. 16(1), pages 121-130, May.
- Billmeier, Andreas & Massa, Isabella, 2009. "What drives stock market development in emerging markets--institutions, remittances, or natural resources?," Emerging Markets Review, Elsevier, vol. 10(1), pages 23-35, March.
- Wongbangpo, Praphan & Sharma, Subhash C., 2002. "Stock market and macroeconomic fundamental dynamic interactions: ASEAN-5 countries," Journal of Asian Economics, Elsevier, vol. 13(1), pages 27-51.
- Levine, Ross & Zervos, Sara, 1996.
"Stock market development and long-run growth,"
Policy Research Working Paper Series
1582, The World Bank.
- Andrea Vaona, 2010.
"Inflation and Growth in the Long Run: A New Keynesian Theory and Further Semiparametric Evidence,"
09/2010, University of Verona, Department of Economics.
- Vaona, Andrea, 2012. "Inflation And Growth In The Long Run: A New Keynesian Theory And Further Semiparametric Evidence," Macroeconomic Dynamics, Cambridge University Press, vol. 16(01), pages 94-132, February.
- Paolo Mauro, 2000.
"Stock Returns and Output Growth in Emerging and Advanced Economies,"
IMF Working Papers
00/89, International Monetary Fund.
- Mauro, Paolo, 2003. "Stock returns and output growth in emerging and advanced economies," Journal of Development Economics, Elsevier, vol. 71(1), pages 129-153, June.
- Robert J. Barro, 2012.
"Inflation and Economic Growth,"
CEMA Working Papers
568, China Economics and Management Academy, Central University of Finance and Economics.
- Baillie, Richard T & Chung, Ching-Fan & Tieslau, Margie A, 1996. "Analysing Inflation by the Fractionally Integrated ARFIMA-GARCH Model," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(1), pages 23-40, Jan.-Feb..
- Holtz-Eakin, Douglas & Newey, Whitney & Rosen, Harvey S, 1988.
"Estimating Vector Autoregressions with Panel Data,"
Econometric Society, vol. 56(6), pages 1371-95, November.
- Tom Doan, . "RATS program to demonstrate IV estimation of VAR in panel data," Statistical Software Components RTZ00185, Boston College Department of Economics.
- Stiglitz, Joseph E, 1985. "Credit Markets and the Control of Capital," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 17(2), pages 133-52, May.
- Harris, Richard D. F., 1997. "Stock markets and development: A re-assessment," European Economic Review, Elsevier, vol. 41(1), pages 139-146, January.
- Mukherjee, Tarun K & Naka, Atsuyuki, 1995. "Dynamic Relations between Macroeconomic Variables and the Japanese Stock Market: An Application of a Vector Error Correction Model," Journal of Financial Research, Southern Finance Association & Southwestern Finance Association, vol. 18(2), pages 223-37, Summer.
- De Gregorio, Jose, 1993. "Inflation, taxation, and long-run growth," Journal of Monetary Economics, Elsevier, vol. 31(3), pages 271-298, June.
- Im, Kyung So & Pesaran, M. Hashem & Shin, Yongcheol, 2003.
"Testing for unit roots in heterogeneous panels,"
Journal of Econometrics,
Elsevier, vol. 115(1), pages 53-74, July.
- Pasaran, M.H. & Im, K.S. & Shin, Y., 1995. "Testing for Unit Roots in Heterogeneous Panels," Cambridge Working Papers in Economics 9526, Faculty of Economics, University of Cambridge.
- Tom Doan, . "IPSHIN: RATS procedure to implement Im, Pesaran and Shin panel unit root test," Statistical Software Components RTS00098, Boston College Department of Economics.
- Cooray, Arusha, 2010. "Do stock markets lead to economic growth?," Journal of Policy Modeling, Elsevier, vol. 32(4), pages 448-460, July.
- Levin, Andrew & Lin, Chien-Fu & James Chu, Chia-Shang, 2002.
"Unit root tests in panel data: asymptotic and finite-sample properties,"
Journal of Econometrics,
Elsevier, vol. 108(1), pages 1-24, May.
- Tom Doan, . "LEVINLIN: RATS procedure to perform Levin-Lin-Chu test for unit roots in panel data," Statistical Software Components RTS00242, Boston College Department of Economics.
- Fama, Eugene F, 1981. "Stock Returns, Real Activity, Inflation, and Money," American Economic Review, American Economic Association, vol. 71(4), pages 545-65, September.
- Nicolaas Groenewold & Gregory O'Rourke & Stephen Thomas, 1997. "Stock returns and inflation: a macro analysis," Applied Financial Economics, Taylor & Francis Journals, vol. 7(2), pages 127-136.
- Xing-Qiu Zhao, 1999. "Stock prices, inflation and output: evidence from China," Applied Economics Letters, Taylor & Francis Journals, vol. 6(8), pages 509-511.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- Han Hou & Su-Yin Cheng, 2010. "The roles of stock market in the finance-growth nexus: time series cointegration and causality evidence from Taiwan," Applied Financial Economics, Taylor & Francis Journals, vol. 20(12), pages 975-981.
- Guglielmo Maria Caporale & Peter G. A Howells & Alaa M. Soliman, 2004. "Stock Market Development And Economic Growth: The Causal Linkage," Journal of Economic Development, Chung-Ang Unviersity, Department of Economics, vol. 29(1), pages 33-50, June.
- Orawan Ratanapakorn & Subhash Sharma, 2007. "Dynamic analysis between the US stock returns and the macroeconomic variables," Applied Financial Economics, Taylor & Francis Journals, vol. 17(5), pages 369-377.
- Chen, Nai-Fu & Roll, Richard & Ross, Stephen A, 1986. "Economic Forces and the Stock Market," The Journal of Business, University of Chicago Press, vol. 59(3), pages 383-403, July.
- Enisan, Akinlo A. & Olufisayo, Akinlo O., 2009. "Stock market development and economic growth: Evidence from seven sub-Sahara African countries," Journal of Economics and Business, Elsevier, vol. 61(2), pages 162-171.
- T. Thanh-Binh Nguyen & Kuan-Min Wang, 2010. "Causality between housing returns, inflation and economic growth with endogenous breaks," Journal of Chinese Economic and Business Studies, Taylor & Francis Journals, vol. 8(1), pages 95-115.
- Xiaohui Liu & Peter Sinclair, 2008. "Does the linkage between stock market performance and economic growth vary across Greater China?," Applied Economics Letters, Taylor & Francis Journals, vol. 15(7), pages 505-508.
- Hwang, Y., 2001. "Relationship between inflation rate and inflation uncertainty," Economics Letters, Elsevier, vol. 73(2), pages 179-186, November.
- Bruce Morley, 2002. "Output, consumption and the stock market: implications for European convergence," Applied Economics, Taylor & Francis Journals, vol. 34(3), pages 317-323.
- Rudra P. Pradhan, 2011. "Financial Development, Growth and Stock Market Development: The Trilateral Analysis in India," Journal of Quantitative Economics, The Indian Econometric Society, vol. 9(1), pages 134-145.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (M. Carmen Guisan).
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 references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link 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 profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.