TITLE

MODELAREA CONTEXTULUI MACROECONOMIC MONETARVALUTAR- FINANCIAR FOLOSIND TEHNICI DE COINTEGRARE

AUTHOR(S)
DUCA, Ioana Andreea
PUB. DATE
June 2011
SOURCE
Studii si Cercetari de Calcul Economic si Cibernetica Economica;2011, Vol. 45 Issue 3/4, p1
SOURCE TYPE
Academic Journal
DOC. TYPE
Article
ABSTRACT
In order to assess the impact of macroeconomic context on the evolution of Bucharest Stock Exchange, Johansen cointegration technique is used to estimate a long run relationship between BET index, exchange rates, M2 and interest rates. One cointegrating vector is found. M2 and RON/USD exchange rate seem to drive the system to equilibrium, whereas shocks in the exchange rates cause a significant downward revision of the BET Index.
ACCESSION #
93425264

 

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