Causal Link Between the Polish Stock Market and Selected Macroeconomic Indicators

Causal Link Between the Polish Stock Market and Selected Macroeconomic Indicators

This article proposes a study of dynamics in the bi-directional relationship between macroeconomic factors and the stock market in Poland. In order to verify Granger’s causality and analyse the course of the impulse response function, a model of vector autoregression was used. The analysis is based...

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Bibliographic Details
Main Author: Szczepan Urjasz
Format: Article
Language:English
Published: Wydawnictwo Naukowe Wydziału Zarządzania Uniwersytetu Warszawskiego 2019-07-01
Series:Problemy Zarządzania
Subjects:
stock market
industrial production
interest rate
impulse response function
var models
Online Access:https://pz.wz.uw.edu.pl/resources/html/article/details?id=190900

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