VAR models on the relation between stock prices and the macroeconomy [Elektronische Ressource] / vorgelegt von Tim Oliver Berg

VARmodelsontherelationbetweenstockpricesandthemacroeconomyInaugural-DissertationzurErlangungdesDoktorgradesdesFachbereichsWirtschaftswissenschaftenderJohannWolfgangGoethe-UniversitätFrankfurtamMainvorgelegtvonTimOliverBergausSiegen2010iErstgutachter: Prof. Dr. StefanGerlachZweitgutachter: Prof. Dr. JanPieterKrahnenDrittgutachter: Prof. Dr. GertPeersmanTagderPromotion: 8. November2010iiAbstractThis dissertation consists of three essays, which study the relation between stock prices andthe macroeconomy using vector autoregressions (VARs). The first essay focuses on the linkbetween stock prices and the current account. I find that stock markets provide a channel, inadditiontothetraditionalexchangeratechannel,throughwhichexternalbalanceforacountrywith a current account imbalance can be restored. The second essay explores the transmissionof U.S. stock price shocks to real activity and prices in G-7 countries. I achieve identificationby imposing a small number of sign restrictions on impulse responses, while controlling formonetary policy, business cycle and government spending shocks. The results suggest thatstock price movements are important for fluctuations in G-7 real activity and prices, but donot qualify as demand side business cycle shocks. The third essay investigates the impact ofmonetary and technology shocks on the stock market. I find an important role for technologyshocks,butnotmonetaryshocks,inexplainingvariationsinrealstockprices.