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The Impact of Stock Market Development on Inflation and Economic Growth of 16 Asian Countries: A Panel VAR Approach

Rudra P. Pradhan,Mak B. Arvin,Bele Samadhan,Shilpa Taneja-2013-01-01-Applied econometrics and international development
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TL;DRAbstract

Empirical 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.

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Empirical 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.

Keywords

EconomicsGranger causalityEconometricsStock marketCointegrationInflation (cosmology)Autoregressive modelVector autoregression

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