Διερεύνηση σχέσης αιτιότητας μεταξύ χρέους μιας χώρας και του γενικού χρηματιστηριακού δείκτη σε ευρωπαϊκές χώρες
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Keywords
Χρονοσειρές ; Στασιμότητα ; Χρηματιστήριο ; Οικονομία ; Έλεγχος μοναδιαίας ρίζας ; Έλεγχος αιτιότητας κατά Granger ; Διανυσματικά Αυτοπαλίνδρομα Υποδείγματα ; Υπόδειγμα διόρθωσης λαθώνAbstract
The scope of the present postgraduate thesis is to study the relation between a country’s government debt and the respective general stock market index implemented in eight European countries. The study investigates if there exists causal relation in short – term and long – term period between the two variables. The process applies econometric techniques such as unit root test in order to ensure stationarity, Granger’s causality (1969) test so as to define short – term causality, cointegration testing for specifying long – term causality and error correction model.
For the implementation, annual data of debt to GDP ratio and the respective general stock market index of each country are considered which were collected from “World Bank” database and from the source finance.yahoo.com. The results from the analysis are indicating that Austrian and French stock market indices impact on the respective debt to GDP ratio, while regarding Portugal, its debt to GDP affect the stock market index. From the cointegration tests it is observed that the debt to GDP ratio and the respective stock market indices of Netherlands, Belgium, Greece and Portugal are equilibrating in long – term period. Finally, by applying the error correction model it is observed long-term causality relationship with a one-way direction for Portugal, with the debt to GDP ratio causing the stock market index.