Izvleček / Abstract

SVAR ANALIZA DINAMIČNIH UČINKOV MAKROEKONOMSKIH ŠOKOV NA SBI20

SVAR ANALYSIS OF DYNAMIC EFFECTS CAUSED BY MACROECONOMIC SHOCKS TO SBI20

Silvo Dajčman, mladi raziskovalec iz gospodarstva

NKBM d.d. Maribor, podiplomski študent na Ekonomsko-poslovni fakulteti Maribor

Izvleček

UDK: 336.763.2:330.43

Na vrednotenje delnic vplivajo številni mikro- ter makroekonomski dejavniki. V prispevku s strukturnim vektorskim avtoregresijskim modelom ocenjujemo dinamične odzive slovenskega borznega trga, zastopanega z indeksom SBI20, na neanticipirane šoke v nekaterih makroekonomskih spremenljivkah in ugotovimo naslednje: nepričakovana rast BDP,  obrestnih mer, ponudbe denarja v obtoku ter pretekli pozitivni razvoj indeksa SBI20 povečajo tekoči indeks SBI20; nepričakovano povečanje inflacije, fiskalna ekspanzija ter apreciacija realnega efektivnega deviznega tečaja pa indeks SBI20 zmanjšajo.

Ključne besede: trg delnic, strukturni vektorski avtoregresijski modeli, ekonometrija.

Abstract

UDC: 336.763.2:330.43

The stock market, as an important part of financial markets, is influenced by many micro- and macroeconomic factors. In this article we employ a structural vector autoregression method to test dynamic responses of the Slovenian stock market, as represented by index SBI20, to unanticipated shocks in some macroeconomic variables. We find that an unanticipated increase in GDP growth, interest rate, or money supply, and past price movement in the stock market all positively affect the current SBI20 stock market index. An unanticipated increase in inflation rate, fiscal expansion, and real effective exchange rate appreciation, on the other hand, negatively affect SBI20.

Key words: stock market, structural vector autoregression models, econometrics.