Resumen de Stock market development, financial development and economic growth in Portugal: Evidence from a vector autoregressive (var) model
José A. Fuinhas, Juan Cándido Gómez Gallego, Pedro Rafael Correia da Asensâo Madeira
Financial system and economic growth are closely related, since a lot of decades this theme had been the subjectof many research. As we know financial system might be divided into two components: the stock market and thebanking system. This study tests the relationship between stock market, financial system and economic growth forPortugal, using a quarterly data from 1993 to 2016, which as European country had an economy dependent onbank financing. Meanwhile to reach the central point the variables tested was real gross domestic product, stockmarket capitalization ratio, domestic credit ratio, investment, and for a control variable is utilized the consumer priceindex. Performed the unit root test to confirm the integration order and the graphical analysis of the variables isconcluded that all are I(1), and they are not cointegrated (Johansen test), Vector Autoregressive (VAR) modelingis carried out, also Granger Causality, variance decomposition and impulse response function are discussed. VARspecification tests express normality, absence of autocorrelation and homoscedasticity. As consequence of theintegration in the European Monetary Union, occur the physical replacement of the currency, proves to be aneconomic regime change but also the subprime crisis was proved. There was found an evidence of Grangerbidirectional causality between stock market and economic growth. Indeed, economic growth seems to be favorableto banking system, unidirectional causality running was found from economic growth to banking financing.
