Stock market development, financial development and economic growth in Portugal
Autor(a) principal: | |
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Data de Publicação: | 2018 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.6/9847 |
Resumo: | Financial system and economic growth are closely related, since a lot of decades this theme had been the subject of many research. As we know financial system might be divided into two components: the stock market and the banking system. This study tests the relationship between stock market, financial system and economic growth for Portugal, using a quarterly data from 1993 to 2016, which as European country had an economy dependent on bank financing. Meanwhile to reach the central point the variables tested was real gross domestic product, stock market capitalization ratio, domestic credit ratio, investment, and for a control variable is utilized the consumer price index. Performed the unit root test to confirm the integration order and the graphical analysis of the variables is concluded that all are I(1), and they are not cointegrated (Johansen test), Vector Autoregressive (VAR) modeling is carried out, also Granger Causality, variance decomposition and impulse response function are discussed. VAR specification tests express normality, absence of autocorrelation and homoscedasticity. As consequence of the integration in the European Monetary Union, occur the physical replacement of the currency, proves to be an economic regime change but also the subprime crisis was proved. There was found an evidence of Granger bidirectional causality between stock market and economic growth. Indeed, economic growth seems to be favorable to banking system, unidirectional causality running was found from economic growth to banking financing. |
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Stock market development, financial development and economic growth in PortugalEvidence from a Vector Autoregressive modelCapitalização do Mercado de CapitaisCrescimento EconómicoModelo VarPortugalSistema FinanceiroDomínio/Área Científica::Ciências Sociais::Economia e GestãoFinancial system and economic growth are closely related, since a lot of decades this theme had been the subject of many research. As we know financial system might be divided into two components: the stock market and the banking system. This study tests the relationship between stock market, financial system and economic growth for Portugal, using a quarterly data from 1993 to 2016, which as European country had an economy dependent on bank financing. Meanwhile to reach the central point the variables tested was real gross domestic product, stock market capitalization ratio, domestic credit ratio, investment, and for a control variable is utilized the consumer price index. Performed the unit root test to confirm the integration order and the graphical analysis of the variables is concluded that all are I(1), and they are not cointegrated (Johansen test), Vector Autoregressive (VAR) modeling is carried out, also Granger Causality, variance decomposition and impulse response function are discussed. VAR specification tests express normality, absence of autocorrelation and homoscedasticity. As consequence of the integration in the European Monetary Union, occur the physical replacement of the currency, proves to be an economic regime change but also the subprime crisis was proved. There was found an evidence of Granger bidirectional causality between stock market and economic growth. Indeed, economic growth seems to be favorable to banking system, unidirectional causality running was found from economic growth to banking financing.O sistema financeiro e o crescimento económico estão muito relacionados, sendo este tema alvo de muitas pesquisas nas últimas décadas. Como temos conhecimento, o sistema financeiro pode ser dividido em duas vertentes: mercado de capitais e sistema de crédito bancário. Este estudo tem como finalidade estudar a relação entre mercado de capitais, sistema bancário e crescimento económico para Portugal, utilizando dados trimestrais que estão compreendidos entre 1993 e 2016, que como país europeu é expectável que uma economia mais dependente do sistema bancário. De forma a capturar a questão central do estudo as variáveis testadas foram produto interno bruto, rácio de capitalização do mercado de capitais, rácio do crédito doméstico, investimento e, para variável de controlo é utilizado o índice de preços do consumidor. Após a realização dos testes de raízes unitárias para confirmarmos a ordem de integração das variáveis e a sua análise gráfica concluímos que estas são I(1), sendo que não são co-integradas (Johansen test). Modelo Vector Autoregressive (VAR) é então realizado, bem como, as causalidades de Granger, decomposição da variância e funções impulso-resposta são discutidas no presente estudo. As especificações do VAR revelam normalidade, ausência de auto correlação e de homocedasticidade. Como consequência da entrada para a União Monetária Europeia, ocorrendo a substituição física da moeda, revela-se uma mudança de regime económico, mas também a grande crise for provada. Finalmente foi encontrada uma evidência bidirecional nas causalidades de Granger entre mercado de capitais e crescimento económico. Na verdade, o crescimento económico aparenta ser favorável para o sistema de crédito bancário, uma relação unidirecional foi encontrada desde o crescimento económico para o sistema de crédito bancário.Fuinhas, José Alberto Serra Ferreira RodriguesuBibliorumMadeira, Pedro Rafael Correia da Ascenção2020-03-09T16:45:28Z2018-07-132018-06-182018-07-13T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.6/9847TID:202354806enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-12-15T09:51:10Zoai:ubibliorum.ubi.pt:10400.6/9847Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-20T00:49:54.841306Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Stock market development, financial development and economic growth in Portugal Evidence from a Vector Autoregressive model |
title |
Stock market development, financial development and economic growth in Portugal |
spellingShingle |
Stock market development, financial development and economic growth in Portugal Madeira, Pedro Rafael Correia da Ascenção Capitalização do Mercado de Capitais Crescimento Económico Modelo Var Portugal Sistema Financeiro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Stock market development, financial development and economic growth in Portugal |
title_full |
Stock market development, financial development and economic growth in Portugal |
title_fullStr |
Stock market development, financial development and economic growth in Portugal |
title_full_unstemmed |
Stock market development, financial development and economic growth in Portugal |
title_sort |
Stock market development, financial development and economic growth in Portugal |
author |
Madeira, Pedro Rafael Correia da Ascenção |
author_facet |
Madeira, Pedro Rafael Correia da Ascenção |
author_role |
author |
dc.contributor.none.fl_str_mv |
Fuinhas, José Alberto Serra Ferreira Rodrigues uBibliorum |
dc.contributor.author.fl_str_mv |
Madeira, Pedro Rafael Correia da Ascenção |
dc.subject.por.fl_str_mv |
Capitalização do Mercado de Capitais Crescimento Económico Modelo Var Portugal Sistema Financeiro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Capitalização do Mercado de Capitais Crescimento Económico Modelo Var Portugal Sistema Financeiro Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
Financial system and economic growth are closely related, since a lot of decades this theme had been the subject of many research. As we know financial system might be divided into two components: the stock market and the banking system. This study tests the relationship between stock market, financial system and economic growth for Portugal, using a quarterly data from 1993 to 2016, which as European country had an economy dependent on bank financing. Meanwhile to reach the central point the variables tested was real gross domestic product, stock market capitalization ratio, domestic credit ratio, investment, and for a control variable is utilized the consumer price index. Performed the unit root test to confirm the integration order and the graphical analysis of the variables is concluded that all are I(1), and they are not cointegrated (Johansen test), Vector Autoregressive (VAR) modeling is carried out, also Granger Causality, variance decomposition and impulse response function are discussed. VAR specification tests express normality, absence of autocorrelation and homoscedasticity. As consequence of the integration in the European Monetary Union, occur the physical replacement of the currency, proves to be an economic regime change but also the subprime crisis was proved. There was found an evidence of Granger bidirectional causality between stock market and economic growth. Indeed, economic growth seems to be favorable to banking system, unidirectional causality running was found from economic growth to banking financing. |
publishDate |
2018 |
dc.date.none.fl_str_mv |
2018-07-13 2018-06-18 2018-07-13T00:00:00Z 2020-03-09T16:45:28Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.6/9847 TID:202354806 |
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http://hdl.handle.net/10400.6/9847 |
identifier_str_mv |
TID:202354806 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
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info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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RCAAP |
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RCAAP |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
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Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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