Purpose – The purpose of this paper is to investigate the effects of macroeconomic indicators (the interest rate and the industrial production) on Vietnamese stock prices. The paper examines how US macroeconomic indicators affect Vietnamese stock prices. Design/methodology/approach – The...

It is important to identify the effects of stock prices on financial and macroeconomic variables when the development of capital markets is concerned. In this study, AB type-SVAR models are employed, whereupon impulse response functions (IRFs) and forecast error variance decompositions (FEVDs)...

Recent spikes in oil prices have thrown light on how economic activity in emerging markets may be impacted by oil price shocks. This paper conducts an empirical analysis of the effect of oil price shocks on emerging markets. It tests for the existence of an asymmetrical relationship between oil...

The NBER Macroeconomics Annual presents pioneering work in macroeconomics by leading academic researchers addressed to a broad audience of public policymakers as well as to the academic community. Each paper is followed by comments and discussion to give a more complete context for the views...

The characteristics that distinguish most developing countries, compared to large industrialized countries, include: greater exposure to supply shocks in general and trade volatility in particular, procyclicality of both domestic fiscal policy and international finance, lower credibility with...

The concurrent growth of emerging countries stock market and their economies in the last two decades raises question regarding the fundamental linkage between stock price and key macroeconomic variables. This paper makes an attempt to examine the short-run and long-run relationship between stock...

Purpose – The purpose of this paper is to investigate the effects of macroeconomic indicators (the interest rate and the industrial production) on Vietnamese stock prices. The paper examines how US macroeconomic indicators affect Vietnamese stock prices. Design/methodology/approach – The...

Analyzes dynamic linkages between stock prices and four macroeconomic variables for the case of Malaysia using standard and well-accepted methods of cointegration and vector autoregression. Empirical results suggest the presence of a long-run relationship between these variables and the stock...

This paper empirically examines the inflation-hedging property of an emerging stock market, Malaysia, for full sample (1988–2008), pre-crisis sample (1988–1996) and post-crisis sample (1999–2008) by means of asymmetric cointegration and asymmetric error-correction modelling....