Cyclical fluctuations and transmission mechanisms of the GDP, investments and the stock exchange in Greece evidence from spectral and VAR analysis

G. Filis, C. Leon

Research output: Contribution to journalArticlepeer-review

Abstract

In this study we examine the transmission mechanisms of the cyclical components of GDP, investments and the stock market in Greece. The period of the study is from 1989:I – 2005:II. Using spectral analysis we find that cyclical fluctuations of GDP and investments have length of about 4 years and stock market has a cycle of about 8 years. The amplitudes of the cycles differ considerably depending on the variables, with the stock exchange exhibiting the highest volatility, followed by investments and GDP. VAR analysis shows that GDP and investments interact positively. GDP exercises a negative significant influence to the stock market, as opposed to the stock market influences on GDP, which are low but positive. Investments and stock market cycles show a positive relationship, which is of a relatively minor importance.
Original languageEnglish
Pages (from-to)54-65
Number of pages12
JournalJournal of Money, Investment and Banking
Issue number6
Publication statusPublished - 2008

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