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Publication detail
RYCZKOWSKI, M. ZINECKER, M.
Original Title
The Interconnectedness of Stock Prices, Money, and Credit across Time and Frequency from 1970 to 2016
Type
journal article in Web of Science
Language
English
Original Abstract
This article applies continuous wavelet and maximal overlap discrete wavelet transforms to study the co-movements and the direction of causality between money (M3 and M2), bank credit, credit from all sectors vs. stock price dynamics across time and frequency for 12 developed countries. The time-varying linkages were significant typically for credit rather than money developments. Particularly, these linkages appeared during phases of house and stock price boom and bust at a business cycle frequency. The discovered lead-lag patterns give relatively much time for monetary policy authorities to support their financial stability objectives by imposing restrictions on credit. Closing the channel through which credit and stock prices interact may counteract the rising financial imbalances. This finding holds also for the euro area where the monetary pillar is based on broad money. The new application of wavelets allowed discovering the varying linkages that were not necessarily evident in the standard methods of analysing data.
Keywords
money; credit; stock prices; wavelets; house price bubbles; stock price bubbles
Authors
RYCZKOWSKI, M.; ZINECKER, M.
Released
8. 7. 2022
Publisher
Vilnius Gediminas Technical University
Location
Vilnius/Lithuania
ISBN
2029-4913
Periodical
Technological and Economic Development of Economy
Year of study
07
Number
2022
State
Republic of Lithuania
Pages from
1
Pages to
39
Pages count
URL
https://journals.vilniustech.lt/index.php/TEDE/article/view/16779
BibTex
@article{BUT178831, author="Ryczkowski {Maciej} and Marek {Zinecker}", title="The Interconnectedness of Stock Prices, Money, and Credit across Time and Frequency from 1970 to 2016", journal="Technological and Economic Development of Economy", year="2022", volume="07", number="2022", pages="1--39", doi="10.3846/tede.2022.16779", issn="2029-4913", url="https://journals.vilniustech.lt/index.php/TEDE/article/view/16779" }