English, Article edition: Financial Deregulation And The Relationship Between The Economy And The Share Market In Australia Nicolaas Groenewold

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/120231
Physical Description
  • article
Language
  • English

Edition details

Title
  • Financial Deregulation And The Relationship Between The Economy And The Share Market In Australia
Author
  • Nicolaas Groenewold
Physical Description
  • article
Notes
  • In this paper we investigate the effect of financial deregulation on the relationship between the macro-economy and the share market within the framework of a VAR using quarterly Australian data for four variables - aggregate share prices, real output, the term premium and the default premium. After an analysis of stationarity and cointegration of the variables, we specify the VAR in the first differences of the logs of share prices and output and the levels of the premia. We identify December 1983 as the most appropriate date for testing for a structural break in our model due to financial deregulation and find strong evidence supporting our hypothesis of a break at this date. We go on to estimate and simulate the model separately over two sub-samples: 1978(1)-1983(4) and 1984(1)-2001(2). While our results are not clear-cut, we find that, if anything, the deregulation of financial markets weakened the relationship between the share market and the rest of the economy. Copyright Blackwell Publishing Ltd/​University of Adelaide and Flinders University of South Australia 2003.
  • RePEc:bla:ausecp:v:42:y:2003:i:4:p:454-477
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment