کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5101021 1479103 2016 37 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Stock price dynamics and the business cycle in an estimated DSGE model for South Africa
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Stock price dynamics and the business cycle in an estimated DSGE model for South Africa
چکیده انگلیسی
This paper develops and estimates an open economy dynamic stochastic general equilibrium model of South Africa. We devote special attention to the impact of stock price wealth effects on output and the interest rate. For this reason we adopt a perpetual youth approach, which allows for a limited decision horizon. We estimate the model using Bayesian techniques and find that (i) about 9% of the volatility in production can be explained by financial shocks, and (ii) the SARB does not and should not react on stock price disturbances. Moreover, stock prices seem to be unaffected by shocks from the real economy.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of International Financial Markets, Institutions and Money - Volume 44, September 2016, Pages 166-182
نویسندگان
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