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The causal link between Polish stock market and key macroeconomic aggregates

  • Gurgul, Henryk
  • Lach, Łukasz

This paper with the application of linear, nonlinear and long–run Granger causality tests, examines the causal links between the main Polish market price index (WIG) of the Warsaw Stock Exchange and four macroeconomic aggregates, namely the value of sold industrial production, the unemployment rate, the interest rate and the rate of inflation using monthly data for the period from January 1998 to June 2008. We found a bidirectional linear causal relationship between the stock market index and sold industrial production and strong evidence of linear and nonlinear Granger causality from changes in the interest rate to fluctuations in the stock market index. Furthermore, all examined macroeconomic variables were found to have a long-run causal influence on the performance of the stock market.

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Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 52250.

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Date of creation: 2010
Date of revision:
Handle: RePEc:pra:mprapa:52250
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