Studying the Stock Market – Economic Activity Nexus in Poland with a VAR‑VECM Approach

Piotr Pietraszewski

doi:10.18778/0208-6018.348.04

Autor

Piotr Pietraszewski Uniwersytet Łódzki, Katedra Ekonomii Przemysłu i Rynku Kapitałowego https://orcid.org/0000-0002-0589-0327

DOI:

https://doi.org/10.18778/0208-6018.348.04

Słowa kluczowe:

WIG, produkt krajowy brutto, autoregresja wektorowa, kointegracja, model korekty błędem

Abstrakt

W artykule omówiono związki pomiędzy koniunkturą giełdową a realną aktywnością gospodarczą oraz przedstawiono wyniki badania współzależności pomiędzy zmianami głównego indeksu akcji na GPW w Warszawie (WIG) oraz PKB w Polsce w latach 1995–2019. W wielu studiach empirycznych dla krajów wysoko rozwiniętych wykazano istnienie nie tylko dynamicznych interakcji krótkookresowych, ale również długoterminowej relacji kointegrującej pomiędzy poziomami indeksu i produktu. Dotychczasowe badania dla Polski wskazywały głównie na związki krótkookresowe pomiędzy stopami zwrotu z akcji a zmianami aktywności gospodarczej, podczas gdy dowody na istnienie długookresowej relacji kointegrującej są jak dotąd nieliczne. W artykule zastosowano metodologię VAR‑VECM oraz procedurę Johansena do badania kointegracji dla znacznie dłuższego szeregu danych kwartalnych niż w prowadzonych do tej pory badaniach. Badanie wykazało, że stopy zwrotu z akcji są przyczyną w sensie Grangera dla zmian PKB, przy czym wyprzedzenie w czasie sięga do trzech kwartałów. Znaleziono również dowody na istnienie długoterminowej relacji kointegrującej.

Pobrania

Brak dostępnych danych do wyświetlenia.

Bibliografia

Adamopoulos A. (2010), Stock Market and Economic Growth: An Empirical Analysis for Germany, “Business and Economics Journal”, vol. 1, pp. 1–12, http://astonjournals.com/manuscripts/Vol2010/BEJ-1_Vol2010.pdf (accessed: 10.01.2020).
Google Scholar

Barro R. (1990), The Stock Market and Investment, “Review of Financial Studies”, vol. 3, no. 1, pp. 115–131.
Google Scholar

Binswanger M. (2000), Stock Market Booms and Real Economic Activity: Is this Time Different?, “International Review of Economics and Finance”, vol. 9, pp. 387–415.
Google Scholar

Binswanger M. (2004), Stock Returns and Real Activity in the G-7 Countries: Did the Relationship Change during the 1980s?, “The Quarterly Review of Economics and Finance”, vol. 44, pp. 237–252, http://doi.org/10.1016/j.qref.2003.07.001
Google Scholar

Black A. J., McMillan D. G., McMillan F. J. (2015), Cointegration between stock prices, dividends, output and consumption: Evidence and forecasting ability for 29 markets, “Review of Accounting and Finance”, vol. 14, no. 1, pp. 81–103, https://doi.org/10.1108/RAF-09-2013-0103
Google Scholar

Brainard W., Tobin J. (1968), Pitfalls in Financial Model‑building, “American Economic Review”, vol. 58, no. 2, pp. 99–122.
Google Scholar

Brzeszczyński J., Gajdka J., Schabek T. (2009), Koniunktura giełdowa a zmiany w realnej sferze gospodarki w Polsce, “Przegląd Organizacji”, no. 7–8, pp. 3–9.
Google Scholar

Campbell J. Y., Shiller R. J. (1989), The Dividend‑Price Ratio and Expectations of Future Dividends and Discount Factors, “The Review of Financial Studies”, vol. 1, no. 3, pp. 195–228.
Google Scholar

Chen N. F. (1991), Financial Investment Opportunities and the Macroeconomy, “Journal of Finance”, vol. 46, no. 2, pp. 529–554.
Google Scholar

Cheung Y., Ng L. (1998), International evidence on the stock market and aggregate economic activity, “Journal of Empirical Finance”, no. 5, pp. 281–296.
Google Scholar

Choi J. J., Hauser S., Kopecky K. (1999), Does the Stock Market Predict Real Activity? Time Series Evidence from the G-7 Countries, “Journal of Banking & Finance”, vol. 23, pp. 1771–1792.
Google Scholar

Domian D., Louton D. (1997), A Threshold Autoregressive Analysis of Stock Returns and Real Economic Activity, “International Review of Economics and Finance”, vol. 6, pp. 167–179.
Google Scholar

Dickey D. A., Fuller W. A. (1981), Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, “Econometrica”, vol. 49, no. 4, pp. 1057–1072.
Google Scholar

Enders W. (2015), Applied Econometric Time Series, Fourth Edition, John Wiley & Sons, Inc., New York.
Google Scholar

Fama E. (1981), Stock Returns, Real Activity, Inflation, and Money, “American Economic Review”, vol. 71, no. 4, pp. 545–565.
Google Scholar

Fama E. (1990), Stock Returns, Expected Returns, and Real Activity, “Journal of Finance”, vol. 45, no. 4, pp. 1089–1108.
Google Scholar

Fiszeder P., Rowiński S. (2012), Modelowanie zależności pomiędzy wybranymi procesami makroekonomicznymi a warszawskim indeksem giełdowym, “Ekonomia i Prawo”, vol. 10, no. 3, pp. 153–167.
Google Scholar

Fundowicz J. (2003), Koniunktura giełdowa a koniunktura makroekonomiczna, [in:] K. Piech, S. Pangsy‑Kania (eds.), Diagnozowanie koniunktury gospodarczej w Polsce, Dom Wydawniczy Elipsa, Warszawa, pp. 141–154.
Google Scholar

Galinger G. (1994), Causality Tests of the Real Stock Returns – Real Activity Hypothesis, “The Journal of Financial Research”, vol. 17, no. 2, pp. 271–288.
Google Scholar

Hanousek J., Filer R. K. (2000), The Relationship between Economic Factors and Equity Markets in Central Europe, “Economics in Transition”, vol. 8, no. 3, pp. 623–638.
Google Scholar

Harvey C. R. (1989), Forecasts of Economic Growth from the Bond and Stock Markets, “Financial Analysts Journal”, vol. 45, no. 5, pp. 38–45.
Google Scholar

Hassapis C., Kalyvitis S. (2002), Investigation Links between Growth and Real Stock Price Changes with Empirical Evidence from the G-7 Countries, “The Quarterly Review of Economics and Finance”, vol. 42, pp. 543–575.
Google Scholar

Horobet A., Dumitrescu S. (2009), On the Causal Relationships Between Monetary, Financial and Real Macroeconomic Variables: Evidence from Central and Eastern Europe, “Economic Computation and Economic Cybernetics Studies and Research”, vol. 43, no. 3, pp. 77–94.
Google Scholar

Johansen S. (1988), Statistical Analysis of Cointegration Vectors, “Journal of Economic Dynamics and Control”, vol. 12, pp. 231–254.
Google Scholar

Johansen S., Juselius K. (1990), Maximum Likelihood Estimation and Inference on Cointegration with Applications to Demand for Money, “Oxford Bulletin of Economics and Statistics” vol. 52, pp. 169–210.
Google Scholar

Kusideł E. (2000), Modele wektorowo‑autoregresyjne VAR: metodologia i zastosowania, Absolwent, Łódź
Google Scholar

Kwiatkowski D. P., Phillips C. B., Schmidt P., Shin Y. (1992), Testing the null hypothesis of stationarity against the alternative of a unit root, “Journal of Econometrics”, vol. 54, no. 1–3, pp. 159–178.
Google Scholar

Laopodis N., Sawhney B. (2002), Dynamic Interactions between Main Street and Wall Street, “The Quarterly Review of Economics and Finance”, vol. 42, no. 4, pp. 803–815.
Google Scholar

Lazonick W. (2016), The Value‑Extracting CEO: How Executive Stock‑Based Pay Undermines Investment in Productive Capabilities, Institute for New Economic Thinking Working Paper Series, no. 54, http://dx.doi.org/10.2139/ssrn.2993933
Google Scholar

Lee B. S. (1992), Causal Relations among Stock returns, Interest Rates, Real Activity, and Inflation, “Journal of Finance”, vol. 47, no. 4, pp. 1591–1603.
Google Scholar

Lyocsa S. (2014), Growth‑returns nexus: Evidence from three Central and Eastern European countries, “Economic Modelling”, vol. 42, pp. 343–355, http://dx.doi.org/10.1016/j.econmod.2014.07.023
Google Scholar

Lyocsa S., Baumohl E. (2014), Stability of the “returns‑growth” relationship in G7: The dynamic conditional lagged correlation approach, “Borsa Istanbul Review”, vol. 14, pp. 48–56.
Google Scholar

Lyocsa S., Baumohl E., Vyrost T. (2011), The Stock Markets and Real Economic Activity. New Evidence from CEE, “Eastern European Economics”, vol. 49, no. 4, pp. 6–23, http://doi.org/10.2753/EEE0012-8775490401
Google Scholar

Malkiel B. (1999), A Random Walk down Wall Street, W. W. Norton & Company, New York.
Google Scholar

Morck R., Shleifer A., Vishny R. (1990), The Stock Market and Investment: Is the Market a Sideshow?, “Brookings Papers on Economic Activity”, vol. 1990, no. 2, pp. 157–202.
Google Scholar

Nasseh A., Strauss J. (2000), Stock Prices and Domestic and International Macroeconomic Activity: A Cointegration Approach, “The Quarterly Review of Economics and Finance”, vol. 40, pp. 229–245.
Google Scholar

Panopoulou E., Pittis N., Kalyvitis S. (2010), Looking far in the past: revisiting the growth‑returns nexus with non‑parametric tests, “Empirical Economics”, vol. 38, no. 3, pp. 743–766.
Google Scholar

Park S. (1997), Rationality of Negative Stock‑price Responses to Strong Economic Activity, “Financial Analysts Journal”, vol. 53, no. 5, pp. 52–56.
Google Scholar

Peiro A. (1996), Stock Prices, Production and Interest Rates: Comparison of Three European Countries with the USA, “Empirical Economics”, vol. 21, pp. 221–234.
Google Scholar

Prats M. A., Sandoval B. (2016), Stock Market and Economic Growth in Eastern Europe, “Economics Discussion Papers”, no. 2016–35, Kiel Institute for the World Economy, http://www.economics‑ejournal.org/economics/discussionpapers/2016-35 (accessed: 10.01.2020).
Google Scholar

Rangvid J. (2006), Output and expected returns, “Journal of Financial Economics”, vol. 81, no. 3, pp. 595–624, http://doi.org/10.1016/j.jfineco.2005.07.010
Google Scholar

Ratajczak M. (2012), Finansyzacja gospodarki, “Ekonomista”, no. 3, pp. 281–302.
Google Scholar

Rubaszek M. (2004), Analiza długookresowej zależności pomiędzy indeksem giełdowym i wzrostem gospodarczym, “Zeszyty Naukowe Uniwersytetu Szczecińskiego”, no. 389, pp. 483–492.
Google Scholar

Sawhney B., Annoruo E., Feridun M. (2006), Long‑run Relationship Between Economic Growth and Stock Returns: An Empirical Investigation on Canada and the United States, “Journal of Economics”, vol. 54, no. 6, pp. 584–596.
Google Scholar

Schwert W. (1990), Stock Returns and Real Activity: A Century of Evidence, “Journal of Finance”, vol. 45, no. 4, pp. 1237–1257.
Google Scholar

Shiller R. (2000), Irrational Exuberance, Princeton University Press, Princeton.
Google Scholar

Siegel J. (2014), Stocks for the Long Run 5/E: The Definitive Guide to Financial Market Returns and Long‑Term Investment Strategies, 5th ed., McGraw‑Hill, New York.
Google Scholar

Stąpała J. (2012), Tempo zmian koniunktury gospodarczej i giełdowej w Polsce w latach 1998– 2011, “Studia Ekonomiczne. Zeszyty Naukowe Uniwersytetu Ekonomicznego w Katowicach”, no. 3, pp. 371–392.
Google Scholar

Stock J. H., Watson M. W. (2003), Forecasting Output and Inflation: The Role of Asset Prices, “Journal of Economic Literature”, vol. 41, no. 3, pp. 788–829.
Google Scholar

Ülkü N., Kuruppuarachchi D., Kuzmicheva O. (2017), Stock market’s response to real output shocks in Eastern European frontier markets: A VARwAL model, “Emerging Markets Review”, vol. 33, pp. 140–154, https://doi.org/10.1016/j.ememar.2017.09.004
Google Scholar

Vazakidis A., Adamopoulos A. (2009), Stock Market Development and Economic Growth, “American Journal of Applied Sciences”, vol. 6, no. 11, pp. 1933–1941.
Google Scholar

Widz E. (2016), Wahania indeksów giełdowych a wahania koniunktury gospodarczej w Polsce, “Acta Universitatis Lodziensis. Folia Oeconomica”, no. 4(323), pp. 155–168, http://dx.doi.org/10.18778/0208-6018.323.11
Google Scholar

Wyżnikiewicz B. (2000), Giełda i gospodarka. Analiza makroekonomiczna, “Przegląd Organizacji”, no. 7–8, pp. 7–11.
Google Scholar

Ząbkowicz A. (2009), Wzrost znaczenia dochodów z operacji finansowych w korporacjach niefinansowych (financialization) – kontekst instytucjonalny, “Organizacja i Kierowanie”, no. 2, pp. 25–40.
Google Scholar