Stock Market and Macroeconomic Variables: VAR and PVAR Approach – Matěj Doležal
Matěj Doležal
Master's thesis
Stock Market and Macroeconomic Variables: VAR and PVAR Approach
Stock Market and Macroeconomic Variables: VAR and PVAR Approach
Abstract:
The study aimed to examine the relationship between the stock market and the real economy. The analysis was conducted based on three models: the S&P 500 stock index, the FTSE 100 stock index, and subsequently, a panel data structure. The observed period chosen was 1Q05-4Q20. The Vector Autoregression (VAR) model was selected for analysis, with subsequent extension to a panel version (PVAR). The macroeconomic …moreAbstract:
The study aimed to examine the relationship between the stock market and the real economy. The analysis was conducted based on three models: the S&P 500 stock index, the FTSE 100 stock index, and subsequently, a panel data structure. The observed period chosen was 1Q05-4Q20. The Vector Autoregression (VAR) model was selected for analysis, with subsequent extension to a panel version (PVAR). The macroeconomic …more
Language used: English
Date on which the thesis was submitted / produced: 24. 5. 2024
Identifier:
https://vskp.vse.cz/eid/94003
Thesis defence
- Date of defence: 18. 6. 2024
- Supervisor: Karel Brůna
- Reader: Žaneta Tesařová
Citation record
Full text of thesis
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Institution archiving the thesis and making it accessible: Vysoká škola ekonomická v Prazehttps://vskp.vse.cz/eid/94003
Vysoká škola ekonomická v Praze
Master programme:
Finance
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