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  • A Cointegrated VAR Analysis
    Marcel Wiedmann
    978-3-7908-2647-0
    2011
    Edition 1
    • Improving the understanding of the interrelation between liquidity and stock markets
    • Including three different liquidity measures: a broad monetary aggregate, the interbank overnight rate and net capital flows which represent the share of global liquidity that arrives in the respective country
    • Analyzing the long-run behavior and short-run dynamics of stock markets in the framework of a cointegrated VAR model
    • Cross-country analysis including 5 developed and 3 emerging economies
    • Includes supplementary material: sn.pub/extras

    €280

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