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Stock Market Indicators and Economic Activity. Some Evidence for Argentina

Author

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  • Luis N. Lanteri

    (Central Bank of Argentina)

Abstract

This paper examines the long-term relationships between the main indicators of stock market and economic activity, in the case of Argentina. The paper employ Granger causality and exogeneity tests based on VEC models (vector error correction), with monthly data covering the period 1993:1-2010:8. The results show that the main stock indexes of Buenos Aires Stock Exchange Market (MERVAL25 and BURCAP) Granger cause to the estimator of economic activity (EMAE) and that these indexes could be considered exogenous variables (weak and strong). Both stock indexes could be used to anticipate future movements in the monthly indicator of economic activity.

Suggested Citation

  • Luis N. Lanteri, 2014. "Stock Market Indicators and Economic Activity. Some Evidence for Argentina," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, vol. 1(70), pages 83-108, June.
    • Handle: RePEc:bcr:ensayo:v:1:y:2014:i:70:p:83-108
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    File URL: http://www.bcra.gov.ar/pdfs/investigaciones/70_Lanteri.pdf
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    More about this item

    Keywords

    Argentina; economic activity; exogeneity; Granger causality; stock market indicators; VEC models;
    All these keywords.

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications

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