Stock markets and industrial production in north and south of Euro-zone: Asymmetric effects via threshold cointegration approach

Document Type

Article

Source of Publication

Journal of Economic Asymmetries

Publication Date

11-1-2015

Abstract

© 2015 PublishedbyElsevierB.V. In this paper, we investigate the relationship between stock prices and industrial production both for South and North of Euro-zone during the period 2004-2013. In contrast to previous studies we identify additional price interaction and dynamics investigating asymmetric adjustment behavior combined with long-run relationship using the Threshold cointegration approach. This method is proper as well because takes into consideration the type of shocks which appears in period 2004-2013. The results demonstrate symmetric adjustment process for the North and asymmetric for the South when stock prices and industrial production adjust to achieve the long-run equilibrium. The main cause of asymmetry is the difference in structural competitiveness which is weakest in South with respect to North. This finding is particularly important because provides the direction of economic policy that should adopt the governments of South of Euro-zone.

ISSN

1703-4949

Publisher

Elsevier

Volume

12

Issue

2

First Page

162

Last Page

172

Disciplines

Business

Keywords

Industrial production, North of Euro-zone, South of Euro-zone, Stock prices, Threshold cointegration approach

Scopus ID

84945132424

Indexed in Scopus

yes

Open Access

no

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