An Empirical Analysis of Macroeconomic Variability on the Ghanaian Stock Market: A Vector Autoregression Approach

This study investigates the dynamic interrelationships among stock prices and selected macroeconomic indicators namely; economic activity, global commodity price index, inflation and interest rates in Ghana. By employing a Vector Autoregression (VAR) Model, the empirical results reveal that stock prices depreciate with an increase in global commodity prices and interest rates indicating a negative relationship. On the other hand, stock prices appreciate with an increase in inflation and economic activity indicating a positive relationship. Examining stock market variability on the selected macroeconomic variables also showed that inflation and interest rates respond negatively to changes in asset prices while the stock market itself is not found to be a leading indicator for economic activity. The evidence suggests that the listed equities on the GSE are a hedge against inflation in Ghana. Increasing economic activity over time is advantageous for the Ghanaian stock market.

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THE EFFECTS ON COMMODITY PRICES OF EXTRAORDINARY MONETARY POLICY

Journal of Agricultural and Applied Economics ◽

10.1017/aae.2016.34 ◽

2017 ◽

Vol 49 (1) ◽

pp. 83-96 ◽

Cited By ~ 1

Author(s):

AITBEK AMATOV ◽

JEFFREY H. DORFMAN

Keyword(s):

Monetary Policy ◽

Interest Rates ◽

Price Index ◽

Commodity Prices ◽

Commodity Price ◽

Agricultural Commodity ◽

Vector Error Correction ◽

Vector Error ◽

Macroeconomic Indicators ◽

The Face

AbstractThis article examines the relationship between Federal Reserve monetary policy and other macroeconomic indicators to both a broad commodity price index and an agricultural commodity price index by employing a vector error correction model. Excessive liquidity and the recent long period of ultralow interest rates appear to have played a statistically significant role in affecting prices in the commodities markets. The responses of commodity prices to monetary policy that we estimate generally conform to earlier findings, but the sensitivity of the responses appears different in the face of the unprecedented scope of recent Fed activism.

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Macroeconomic Influence on the Nepalese Stock Market

NRB Economic Review ◽

10.3126/nrber.v31i1.35307 ◽

2019 ◽

Vol 31 (1) ◽

pp. 47-64

Author(s):

Mukti Bahadur Khatri

Keyword(s):

Foreign Direct Investment ◽

Exchange Rate ◽

Interest Rate ◽

Stock Market ◽

Money Supply ◽

Stock Prices ◽

Economic Activity ◽

Direct Investment ◽

Negative Relationship ◽

Short Run

This study examines the dynamic relationship among the stock market and macroeconomic factors such as nominal domestic variables (inflation, money supply, and interest rate), real economic activity (gross domestic product) and foreign variable (exchange rate and foreign direct investment) of Nepal. It has used Johansen and Juselius (1990) method of multivariate cointegration for the period Mid-July 1994 to Mid-July 2015. The finding of this study shows that the stock prices are positively and significantly related to money supply. Real economic activity and interest rate have insignificant and negative relationship with the stock prices. Similarly, foreign direct investment, inflation (CPI) and exchange rate with US dollar have a positive and insignificant relationship with the Nepalese stock market. Accordingly, the VEC estimates suggest that there is no significant effect of macroeconomic variables to the Nepalese stock price in the short run. In general, the presence of cointegration and causality suggest that Nepalese stock market is not efficient in both the short run and the long run.

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Modelling Macroeconomic Determinants Of Stock Market Prices: Evidence From Namibia

Journal of Applied Business Research (JABR) ◽

10.19030/jabr.v28i5.7230 ◽

2012 ◽

Vol 28 (5) ◽

pp. 871 ◽

Cited By ~ 12

Author(s):

Joel Hinaunye Eita

Keyword(s):

Stock Market ◽

Interest Rates ◽

Money Supply ◽

Stock Prices ◽

Economic Activity ◽

Market Price ◽

Font Size ◽

Market Prices ◽

Econometric Methodology ◽

Macroeconomic Determinants

This paper investigates the macroeconomic determinants of stock market prices in Namibia. The investigation was conducted using a VECM econometric methodology and revealed that Namibian stock market prices are chiefly determined by economic activity, interest rates, inflation, money supply and exchange rates. An increase in economic activity and the money supply increases stock market prices, while increases in inflation and interest rates decrease stock prices. The results suggest that equities are not a hedge against inflation in Namibia, and contractionary monetary policy generally depresses stock prices. Increasing economic activity promotes stock market price development.

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Economic Activities and Oil Price Shocks in Indian Outlook: Direction of Causality and Testing Cointegration

Global Business Review ◽

10.1177/0972150921990491 ◽

2021 ◽

pp. 097215092199049

Author(s):

Preeti Sharma ◽

Avinash K. Shrivastava

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Stock Prices ◽

Economic Activity ◽

Negative Relationship ◽

Oil Prices ◽

Industrial Output ◽

Market Prices ◽

Macroeconomic Variables ◽

Short Run

The current study intends to find out the linkages between crude oil prices and economic activity in the context of Indian economy. The macroeconomic variables such as gross domestic product (GDP), unemployment, industrial output, inflation, exchange rate and stock market prices have been used as a proxy to economic activity. We have analysed the sample data of 30 years, that is, from year 1991 to 2020. To inspect the short-run relationship between oil prices and the above-mentioned macroeconomic variables, Granger causality test has been applied after removing the presence of unit root through differencing the series. To investigate the long-run relationship, vector error correction model (VECM) has been applied after testing cointegration through the Johansen method of cointegration. The findings of the study show that oil prices have short-run causality with all the variables, that is, GDP, unemployment, industrial output, inflation, exchange rate and stock market prices, while they have a long association with inflation, industrial production and unemployment. Further we find a negative relationship between oil prices and unemployment, industrial output, inflation and exchange rate and a positive relationship with GDP and stock prices.

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Dampak Pertumbuhan Ekonomi China Terhadap Perekonomian Indonesia

JRB-Jurnal Riset Bisnis ◽

10.35592/jrb.v2i2.404 ◽

2019 ◽

Vol 2 (2) ◽

pp. 112-124

Author(s):

Aulia Keiko Hubbansyah ◽

Wurdaningsih

Keyword(s):

Economic Growth ◽

Exchange Rate ◽

Exchange Rates ◽

Interest Rates ◽

Price Index ◽

Commodity Prices ◽

Commodity Price ◽

Global Variable ◽

Us Dollar ◽

The Impact

This study aims to analyze the impact of China’s economic growth on the Indonesian economy. In this analysis, the study adapted SVAR with block exogeneity consisting of blocks global variable (China’s economic growth and non-fuel global commodity prices growth) and domestic variable blocks (economic growth, inflation, real interest rates and Indonesia’s exchange rates). Using the data over the period from 1993q1-2017q2, this study found that the shock if China’s economic growth had a major impact on non-fuel global commodity price movements. Additionally, it is also acknowledged that China’s economic growth shock of 1.9 percent causes the Indonesian economy to grow by 0.85 percent. This was due to the appreciation of Rupiah exchange rate againt US Dollar by 1.6 percent, make inflation under control, while inflation in term of rising price index was insignficant

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Does the Covid-19 Pandemic Affect the Stock Market in Indonesia?

Jurnal Ilmu Sosial dan Ilmu Politik ◽

10.22146/jsp.56432 ◽

2021 ◽

Vol 24 (1) ◽

pp. 33

Author(s):

Dwi Rahmayani ◽

Shanty Oktavilia

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Interest Rates ◽

Stock Markets ◽

Commodity Prices ◽

Commodity Price ◽

Short Term ◽

Correction Model ◽

Negative Effect

This study aimed to analyze the existence and effect of the Covid-19 pandemic on the stock market over the long-term and short-term in Indonesia. The study followed Krugman’s (1979) approach stating the pandemic crisis problems have the potential to decrease the performance of the international balance of payments which will ultimately lead to uncertainty in the market. The research method was the Error Correction Model (ECM) with stock markets as an endogenous variable; and exchange rate, inflation, interest rate, foreign stock markets, commodity price, and pandemic as exogenous variables. The pandemic indicator was measured by total accumulative cases of Covid-19 per day in Indonesia. Using ECM, the result showed that foreign interest rates and commodity prices positively affect the stock markets. Conversely, the exchange rate has a negative effect on the stock markets. However, the estimation fails to reflect the significant impact of the Covid-19 pandemic in the short-term, but it has a negative effect on stock markets in the long-term. This result implies that the higher total accumulative cases of Covid-19 has been the source of Indonesia’s stock market weakness in the long-term. To the best of the author’s knowledge, this study is the first to examine Indonesia’s stock market’s pandemic impact between the short term and long term.

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The price of the lockdown: The effects of social distancing on the Indian economy and business during the COVID-19 pandemic

Ekonomski horizonti ◽

10.5937/ekonhor2101085b ◽

2021 ◽

Vol 23 (1) ◽

pp. 85-99

Author(s):

Hasnan Baber ◽

Rao Tripati

Keyword(s):

Exchange Rate ◽

Stock Market ◽

Stock Prices ◽

Economic Activity ◽

International Travel ◽

Business Activity ◽

Religious Activities ◽

Social Distancing ◽

The Exchange Rate ◽

The Impact

The decision on immediate lockdown in India put economic, social and religious activities to a grinding halt. The paper examines the impact of the lockdown and social distancing policies on economic activities in India, using a multivariate econometric model for the data collected in the period from 1st January to 31st August 2020. While the social distancing policy is captured in terms of internal movement, domestic travel and international travel restrictions, its effect on the economic activity and the business activity is captured through stock prices, purchasing managers' index and the exchange rate. Confirmed COVID-19 cases and related deaths are also used as the independent variables. The results reveal a significant negative impact of social distancing policies on the economic activity and the business activity, the stock market and the exchange rate. Furthermore, the economic stimulus provided by the Government could not bring a positive influence on the stock market.

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Growth and returns across countries

From Main Street to Wall Street ◽

10.1093/oso/9780198866404.003.0006 ◽

2021 ◽

pp. 78-87

Author(s):

Jesper Rangvid

Keyword(s):

Economic Growth ◽

Interest Rates ◽

Stock Returns ◽

Stock Prices ◽

Economic Activity ◽

Wide Margin ◽

The Past ◽

Long Run ◽

The Us ◽

Long Run Risk

This chapter examines the relation between long-run economic growth and returns across countries. Have countries that have experienced high GDP growth historically also experienced high stock returns? The chapter contains three main messages. First, there is no clear tendency that countries that have grown fast in the past are also countries that have delivered high stock returns in the past. Second, as in the US, stock prices have in many countries followed economic activity in the long run. Third, real interest rates relate to economic growth across countries in the long run.Another conclusion emerging from this chapter is that long-run stock returns exceed long-run rates of economic growth and long-run risk-free rates by a wide margin.

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On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

Journal of Agricultural and Applied Economics ◽

10.1017/s1074070800002972 ◽

2009 ◽

Vol 41 (2) ◽

pp. 521-528 ◽

Cited By ~ 3

Author(s):

Jungho Baek ◽

Won W. Koo

Keyword(s):

Interest Rates ◽

Commodity Prices ◽

Commodity Price ◽

Farm Income ◽

Agricultural Commodity ◽

Macroeconomic Variables ◽

Distributed Lag ◽

Dynamic Relationship ◽

Long Run ◽

Short Run

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

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FORMATION OF COMPOSITE GLOBAL COMMODITY PRICES AS AN INFLATION INDICATOR FOR EAST JAVA

East Java Economic Journal ◽

10.53572/ejavec.v2i2.20 ◽

2021 ◽

Vol 2 (2) ◽

pp. 210-217

Author(s):

Anisha Wirasti Cahyaningrum

Keyword(s):

Exchange Rate ◽

Price Index ◽

Consumer Price Index ◽

Relative Weight ◽

Commodity Prices ◽

Commodity Price ◽

Data Availability ◽

General Will ◽

The Exchange Rate ◽

The Impact

With the average contribution of imports to Gross Regional Domestic Product (GRDP) in the last five years reaching 19.1%, the dynamics of global commodity prices also influence the economic performance of East Java, including the movement of inflation. A composite indicator of global commodity prices is needed to find out the impact of changes in various global commodity prices on inflation in East Java. By adopting the Bank Indonesia methodology in forming a composite global price known as the Imported Inflation Price Index (IHIM) which has considered the method of forming a global composite price created by the IMF (IMF Commodity Price Index), the compilation of East Java global price composites also examines the accuracy of commodity selection and aspects of data availability. The selected global price composite for East Java is a composite of seven global commodities which include food (wheat, soybeans, corn and CPO) and non-food (iron, gold and oil). These are two aspects determining the relative weight, namely (I) the import portion of the total input based on the Input-Output table and (ii) the commodity weight of derivatives in the East Java Consumer Price Index (IHK) basket. Furthermore, with OLS regression, the composite of East Java global commodity prices affects the core-traded inflation movement in East Java. Thus, the composite of global commodity prices in East Java can be used as an indicator of East Java inflation projections, especially core-traded inflation. This study, in general, will also examine the effect of the exchange rate impact on the movement of core inflation, especially traded groups in East Java. Based on the regression results it is known that the impact of the exchange rate movement on core traded inflation in East Java is more significant than the effect of world commodity price movements.

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