The Effects of Financial Variables on Economic Activities－The Case of G7 Countries

• Main Authors: Siou-Huei Lai, 賴秀惠
• Other Authors: Jyh-Lin Wu
• Format: Others
• Language: zh-TW
• Published: 2013
• Online Access: http://ndltd.ncl.edu.tw/handle/08661099747305955592

碩士 === 國立中山大學 === 經濟學研究所 === 101 === The occurrence of financial crisis will inevitably lead to serious economic recession. Thus, it is imperative to study the relationship between financial variables and real economic activities. This research examines the relationship between the financial variables of both the stock market and the bond market and real economic activities. The impulse response function result shows that the stock market index and stock market volatility have positive impact on the real GDP of the G7 Industrial Countries whereas the yield curve has negative impact on the real GDP of the G7 Industrial Countries. The stock market index and stock market volatility in Japan, the United States and Canada have greater impact on their real GDP. According to the forecast error variance decomposition, the stock market index and stock market volatility have better explanatory power about the real GDP in the cases of the United States, Japan and the United Kingdom. However, the explanatory power is around only 10%.