I use a Bayesian vector autoregressive (VAR) model to investigate the impact of monetary and technology shocks on the euro area stock market in 1987-2005. I find an important role for technology shocks, but not monetary shocks, in explaining variations in real stock prices. The identification...

This paper determines how mortgage rate and income shocks affect new and resale housing prices, housing starts, and housing sales in Canadas metropolitan areas. We assess the variance decompositions and impulse response results to mortgage rate and income shocks. An additional set of VARs is...

The price of stock like any other commodity goes up and down due to a number of factors. Corporate governance is one of important determinants of stock price. This paper makes an attempt to study exclusively the relationship between corporate governance score and stock prices of a company. The...

The objective of the paper is to examine the causal relationship between money supply and stock prices in Pakistan. Two measures of money stocks (M1 and M2) and six stock price indices (general and five sectors) were taken for the period June 1991 to June 1999. The co-integration analysis...

This paper attempts to explore a seasonal pattern, the Ramadhan effect, in the Pakistani equity market. Ramadhan, the holy month of fasting, is expected to affect the behavior of stock market in Pakistan where the environment in Ramadhan is different from other months as people devote more time...

Seemingly unrelated variables are quite often having relations with each other and this peculiar relation has always won the intentional and unintentional attention of many scientists and researchers. This paper is an attempt to investigate and interrogate the co-movements or the relations among...

This paper re-examines the causal relationship between stock prices and the variables representing the real sector of the Pakistani economy.Using annual data from 1959/60 to 2004/05, examining the stochastic properties of the variables used in the analysis, and taking care of the shifts in the...

This paper explores the relation between stock prices and the current account for 17 OECD countries in 1980-2007. I use a panel vector autoregression (VAR) to compare the effects of stock price shocks to those originating from monetary policy and exchange rates. While monetary policy shocks have...

I investigate the transmission of U.S. stock price shocks to real activity and prices in G-7 countries using a multicountry vector autoregressive (VAR) model. I achieve identification by imposing a small number of sign restrictions on impulse responses, while controlling for monetary policy,...