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Impact of the global crisis on the linkages between the interest rates and the stock prices in Romania

By Razvan Stefanescu and Ramona Dumitriu


Very often the crisis induces changes in the linkages between the financial variables. This paper explores, through a Vector Autoregression model and Granger Causality tests, the impact of the global crisis on the relation between the Romanian stock prices and the interest rates. We found this relation was very weak before the crisis, when the Romanian stock market experienced an ascendant trend. Instead, it became quite significant during the crisis when the financial markets are very sensitive to the external stimuli and the monetary policy has to take into consideration the impact of interest rates on the stock prices.

Topics: E43 - Interest Rates: Determination, Term Structure, and Effects, G12 - Asset Pricing; Trading volume; Bond Interest Rates, E52 - Monetary Policy, G10 - General
Year: 2010
DOI identifier: 10.2139/ssrn.2003349
OAI identifier: oai:mpra.ub.uni-muenchen.de:36716

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