The dynamic relationship between stock market development and economic activity evidence from Peru, 1965-2011
AbstractWe use real GDP per capita and three standard indicators of stock market development: value traded/GDP, market capitalization/GDP and turnover to study the short-run link between the stock market and economic activity in Peru. Based on annual time series data for the period 1965-2011, we estimate vector autoregressions (VARs) and identify approximate measures of stock market shocks using long-run restrictions. The results can be summarized as follows: (i) stock market indicators contribute to predict real GDP per capita growth only since the early 1990's; (ii) a stock market shock has signi cant short-run e ects on real GDP per capita; however, its contribution to output dynamics has been small.The results imply that policy actions aimed at further developing the Peruvian stock market do have a signi cant positive impact on the dynamics of economic growth. JEL Classification-JEL: E23, G1
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Bibliographic InfoPaper provided by Departamento de Economía - Pontificia Universidad Católica del Perú in its series Documentos de Trabajo with number 2013-369.
Length: 18 pages
Date of creation: 2013
Date of revision:
Publication status: published
Contact details of provider:
Postal: Av. Universitaria 1801, San Miguel, Lima, Perú
Phone: (511) 626-2000 ext. 4950, 4951
Fax: (511) 626-2874
Web page: http://departamento.pucp.edu.pe/economia/
More information through EDIRC
Output growth; stock market; VAR; long-run restrictions;
Find related papers by JEL classification:
- E23 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Production
- G1 - Financial Economics - - General Financial Markets
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