Macroeconomics and the Spanish stock market, impact-response analysis

Figures & data

Figure 1. Variables, time series.

Source: own elaboration.

Table 1. Variables, statistical description.

Statistics	IGBM	INTERES	IPI	CPI	M1	PMI	UNEM	ESI	RISK_P
Mean	994.82	3.02	111.54	92.99	7.67	49.77	15.98	98.81	105.89
Median	955.44	2.99	105.70	95.56	7.95	51.04	15.30	103.50	76.90
Maximum	1.724.4	7.07	136.75	105.30	14.5	57.17	26.3	111.4	547.7
Minimum	576.20	1.5	70.58	71.94	0.28	28.49	7.90	68.7	0.50
Std. Dev.	237.32	1.44	13.30	9.79	3.09	5.11	5.69	9.97	116.42
Skewness	1.03	0.80	0.25	−0.61	−0.31	−1.64	0.28	−1.02	1.61
Kurtosis	4.05	2.81	2.01	2.07	2.54	6.52	1.79	3.20	5.43
Jarque-Bera	54.05	26.08	12.20	23.94	6.04	232.70	17.71	42.33	163.06
Probability	0.00	0.00	0.00	0.00	0.04	0.00	0.00	0.00	0.00

Source: own elaboration.

Table 2. Unit root test, in levels and 1st difference.

Series		Level		1^st difference
Variables		Dickey-Fuller Augmented	Philips-Perron	Dickey-Fuller Augmented	Philips-Perron
LIGBM	t-statistic	−0.26	−0.26	−5.62	−14.54
	p-value	0.59	0.59	0.00	0.00
LINTERES	t-statistic	−1.77	−1.99	−2.84	−10.80
	p-value	0.08	0.05	0.00	0.00
LIPI	t-statistic	−0.51	−0.63	−13.46	−13.94
	p-value	0.49	0.44	0.00	0.00
LIPC	t-statistic	1,31	−3.61	−1,92	−18.21
	p-value	0.95	0.99	0.05	0.00
LM1	t-statistic	−0.22	−0.38	−4.92	−12.23
	p-value	0.60	0.54	0.00	0.00
LPMI	t-statistic	−0.01	−0.07	−13.23	−13.11
	p-value	0.68	0.65	0.00	0.00
LUNEM	t-statistic	0.18	0.43	−2.87	−6.12
	p-value	0.73	0.80	0.00	0.00
LESI	t-statistic	−0.55	−0.55	−4.58	−15.19
	p-value	0.47	0.47	0.00	0.00
LRISK_P	t-statistic	−0.59	−1.01	−23.72	−27.22
	p-value	0.46	0.27	0.00	0.00

Source: own elaboration.

Table 3. Regression model and residuals test.

Dependent Variable: LIGBM					RESIDUALS
Variable	Coefficient	Std. Error	t-Statistic	Prob.
LINTERES	0.285	0.056	5.032	0.000	Null Hypothesis: RESIDUALS has a unit root (Exogenous: Constant)		t-Statistic	Prob.
LIPI	−0.231	0.205	−1.122	0.262
LIPC	1.677	0.155	10.823	0.000
LM1	−0.057	0.024	−2.344	0.019
LPMI	1.299	0.162	7.993	0.000	Augmented Dickey-Fuller		−2.526	0.110
LUNEM	−0.396	0.065	−6.093	0.000	Test critical values:	1% level	−3.457
LESI	−0.822	0.168	−4.886	0.000		5% level	−2.873
LRISK_P	−0.014	0.013	−1.085	0.278		10% level	−2.573

Source: own elaboration.

Table 4. Lag selection VAR model (*Lag chosen by criterion, 5% level).

Lag	LogL	LR	AIC	SC	HQ
1	3812.41	NA	−32.30	−31.09*	−31.81*
2	3919.76	197.97	−32.53	−30.12	−31.56
3	4019.36	175.90	−32.69	−29.07	−31.23
4	4106.34	146.85	−32.74	−27.91	−30.80
5	4202.99	155.64	−32.88	−26.84	−30.44
6	4308.48	161.66*	−33.09*	−25.85	−30.17
7	4358.46	72.69	−32.82	−24.37	−29.41
8	4430.91	99.73	−32.75	−23.09	−28.85

Source: own elaboration.

Figure 2. Inverse roots of the characteristic polynomial AR.

Source: own elaboration.

Table 5. Granger causality between variables (lags: 6).

	Null Hypothesis (doesn’t Cause)	Prob.		Null Hypothesis (doesn’t Cause)	Prob.
D(LIGBM)	D(LINTERES) on D(LIGBM)	0.005	D(LIPI)	D(LIPC) on D(LIPI)	0.200
	D(LIGBM) on D(LINTERES)	0.049		D(LIPI) on D(LIPC)	0.697
	D(LIPI) on D(LIGBM)	0.110		D(LM1) on D(LIPI)	0.192
	D(LIGBM) on D(LIPI)	0.010		D(LIPI) on D(LM1)	0.596
	D(LIPC) on D(LIGBM)	0.455		D(LPMI) on D(LIPI)	0.165
	D(LIGBM) on D(LIPC)	0.099		D(LIPI) on D(LPMI)	0.001
	D(LM1) on D(LIGBM)	0.010		D(LUNEM) on D(LIPI)	0.000
	D(LIGBM) on D(LM1)	0.145		D(LIPI) on D(LUNEM)	0.000
	D(LPMI) on D(LIGBM)	0.004		D(LESI) on D(LIPI)	0.060
	D(LIGBM) on D(LPMI)	0.000		D(LIPI) on D(LESI)	0.000
	D(LUNEM) on D(LIGBM)	0.013		D(LRISK_P) on D(LIPI)	0.384
	D(LIGBM) on D(LUNEM)	0.060		D(LIPI) on D(LRISK_P)	0.279
	D(LESI) on D(LIGBM)	0.177	D(LIPC)	D(LM1) on D(LIPC)	0.185
	D(LIGBM) on D(LESI)	0.000		D(LIPC) on D(LM1)	0.029
	D(LRISK_P) on D(LIGBM)	0.943		D(LPMI) on D(LIPC)	0.182
	D(LIGBM) on D(LRISK_P)	0.845		D(LIPC) on D(LPMI)	0.003
D(LINTERES)	D(LIPI) on D(LINTERES)	0.455		D(LUNEM) on D(LIPC)	0.094
	D(LINTERES) on D(LIPI)	0.626		D(LIPC) on D(LUNEM)	0.875
	D(LIPC) on D(LINTERES)	0.001		D(LESI) on D(LIPC)	0.716
	D(LINTERES) on D(LIPC)	0.030		D(LIPC) on D(LESI)	0.143
	D(LM1) on D(LINTERES)	0.000		D(LRISK_P) on D(LIPC)	0.799
	D(LINTERES) on D(LM1)	0.384		D(LIPC) on D(LRISK_P)	0.909
	D(LPMI) on D(LINTERES)	0.563	D(LM1)	D(LPMI) on D(LM1)	0.938
	D(LINTERES) on D(LPMI)	0.023		D(LM1) on D(LPMI)	0.000
	D(LUNEM) on D(LINTERES)	0.172		D(LUNEM) on D(LM1)	0.719
	D(LINTERES) on D(LUNEM)	0.041		D(LM1) on D(LUNEM)	0.020
	D(LESI) on D(LINTERES)	0.615		D(LESI) on D(LM1)	0.813
	D(LINTERES) on D(LESI)	0.087		D(LM1) on D(LESI)	0.040
	D(LRISK_P) on D(LINTERES)	0.997		D(LRISK_P) on D(LM1)	0.561
	D(LINTERES) on D(LRISK_P)	0.642		D(LM1) on D(LRISK_P)	0.234
D(LUNEM)	D(LESI) on D(LUNEM)	0.000	D(LPMI)	D(LUNEM) on D(LPMI)	0.000
	D(LUNEM) on D(LESI)	0.000		D(LPMI) on D(LUNEM)	0.000
	D(LRISK_P) on D(LUNEM)	0.453		D(LESI) on D(LPMI)	0.019
	D(LUNEM) on D(LRISK_P)	0.037		D(LPMI) on D(LESI)	0.000
D(LESI)	D(LRISK_P) on D(LESI)	0.128		D(LRISK_P) on D(LPMI)	0.441
	D(LESI) on D(LRISK_P)	0.834		D(LPMI) on D(LRISK_P)	0.868

Source: own elaboration.

Figure 3. Causality between macroeconomic variables and the stock market.

Source: own elaboration.

Figure 4. Causality between macroeconomic variables.

(Interest, Inflation, Monetary Aggregate M1)

Source: own elaboration.

Figure 5. Causality between macroeconomic variables.

(Interest rate, Inflation, Activity indices, Monetary aggregate M1, Risk premium)

Source: own elaboration.

Figure 6. Impulse-response function (One S.D. Innovations ± 2 S.E.).

Stock market D(LIGBM) response to impacts the macroeconomic variables

Source: own elaboration.

Figure 7. Impulse-response function (One S.D. Innovations ± 2 S.E.).

Macroeconomic variables response to impacts the stock market D(LIGBM)

Source: own elaboration.