The cross-country importance of global sentiments—evidence for smaller EU countries
This paper examines the importance of the economic sentiments of some macroeconomic key variables in Estonia, Slovenia and Latvia. We analyze the importance of domestic as well as foreign sentiments with respect to these economies against the background of their accession to the European Monetary Union. For this purpose, we develop and apply a framework which is based on a restricted autoregressive model. We focus on two issues: firstly, we investigate the relationship between domestic stock prices, income and sentiments; and, secondly, we take external effects stemming from EMU and US share prices and sentiments into account. Our results show that European sentiments are important for income and domestic sentiments. Furthermore, we are able to establish linkages between global share prices and domestic income. From a more general perspective, we find a significant positive influence stemming from (domestic) share prices on sentiments in Estonia and Latvia, and also find evidence for an inverse relationship in Latvia. Copyright Springer-Verlag 2012
If 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.
References listed on IDEAS
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.:
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2005.
"International Stock Return Comovements,"
06-3, University of Pennsylvania, Wharton School, Weiss Center.
- Bekaert, Geert & Hodrick, Robert J & Zhang, Xiaoyan, 2006. "International Stock Return Comovements," CEPR Discussion Papers 5955, C.E.P.R. Discussion Papers.
- Geert Bekaert & Robert J. Hodrick & Xiaoyan Zhang, 2005. "International Stock Return Comovements," NBER Working Papers 11906, National Bureau of Economic Research, Inc.
- Bekaert, Geert & Hodrick, Robert J. & Zhang, Xiaoyan, 2008. "International stock return comovements," Working Paper Series 0931, European Central Bank.
- W. Jos Jansen & Niek J. Nahuis, 2004.
"Which survey indicators are useful for monitoring consumption? Evidence from European countries,"
Journal of Forecasting,
John Wiley & Sons, Ltd., vol. 23(2), pages 89-98.
- Niek J. Nahuis & W. Jos Jansen, 2003. "Which Survey Indicators Are Useful for Monitoring Consumption? Evidence fron European Countries," Macroeconomics 0309013, EconWPA.
- Schmeling, Maik, 2008.
"Investor sentiment and stock returns: Some international evidence,"
Hannover Economic Papers (HEP)
dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Solnik, Bruno H., 1974. "An equilibrium model of the international capital market," Journal of Economic Theory, Elsevier, vol. 8(4), pages 500-524, August.
- Joscha Beckmann & Ansgar Belke & Michael Kühl, 2011.
"Global Integration of Central and Eastern European Financial Markets—The Role of Economic Sentiments,"
Review of International Economics,
Wiley Blackwell, vol. 19(1), pages 137-157, 02.
- Ansgar Belke & Joscha Beckmann & Michael Kühl, 2010. "Global Integration of Central and Eastern European Financial Markets – The Role of Economic Sentiments," Ruhr Economic Papers 0174, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
- Ansgar Belke & Joscha Beckmann & Michael Kühl, 2009. "Global Integration of Central and Eastern European Financial Markets: The Role of Economic Sentiments," Discussion Papers of DIW Berlin 952, DIW Berlin, German Institute for Economic Research.
- Joscha BECKMANN & Ansgar BELKE & Kühl, . "Global Integration of Central and Eastern European Financial Markets - The Role of Economic Sentiments," EcoMod2010 259600021, EcoMod.
- John G. Matsusaka & Argia M. Sbordone, 1993.
"Consumer confidence and economic fluctuations,"
Working Paper Series, Macroeconomic Issues
93-13, Federal Reserve Bank of Chicago.
- Jason Bram & Sydney Ludvigson, 1998.
"Does consumer confidence forecast household expenditure? a sentiment index horse race,"
Economic Policy Review,
Federal Reserve Bank of New York, issue Jun, pages 59-78.
- Jason Bram & Sydney Ludvigson, 1997. "Does consumer confidence forecast household expenditure?: A sentiment index horse race," Research Paper 9708, Federal Reserve Bank of New York.
- Jansen, W. Jos & Nahuis, Niek J., 2003.
"The stock market and consumer confidence: European evidence,"
Elsevier, vol. 79(1), pages 89-98, April.
- W. Jos Jansen & Niek J. Nahuis, 2002. "The Stock Market and Consumer Confidence: European Evidence," MEB Series (discontinued) 2002-11, Netherlands Central Bank, Monetary and Economic Policy Department.
- Malcolm Baker & Jeffrey Wurgler, 2004.
"Investor Sentiment and the Cross-Section of Stock Returns,"
NBER Working Papers
10449, National Bureau of Economic Research, Inc.
- Malcolm Baker & Jeffrey Wurgler, 2006. "Investor Sentiment and the Cross-Section of Stock Returns," Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, 08.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives,
American Economic Association, vol. 21(2), pages 129-152, Spring.
- E. Philip Howrey, 2001. "The Predictive Power of the Index of Consumer Sentiment," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 32(1), pages 175-216.
- Gabrisch, Hurbert & Orlowski, Lucjan, 2009. "Interest Rate Convergence in the Euro-Candidate Countries: Volatility Dynamics of Sovereign Bond Yields," Working Papers 2009001, Sacred Heart University, John F. Welch College of Business.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Sydney C. Ludvigson, 2004. "Consumer Confidence and Consumer Spending," Journal of Economic Perspectives, American Economic Association, vol. 18(2), pages 29-50, Spring.
- Gregory W. Brown & Michael T. Cliff, 2005. "Investor Sentiment and Asset Valuation," The Journal of Business, University of Chicago Press, vol. 78(2), pages 405-440, March.
- Klaus Weyerstrass & Reinhard Neck, 2008. "Macroeconomic Consequences of the Adoption of the Euro: The Case of Slovenia," International Advances in Economic Research, International Atlantic Economic Society, vol. 14(1), pages 1-10, February.
When requesting a correction, please mention this item's handle: RePEc:kap:iecepo:v:9:y:2012:i:3:p:245-264. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Guenther Eichhorn)or (Christopher F. Baum)
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.