Long-Run Equilibrium Relationship Between the Banking Stock Price index and Macroeconomic and Financial Variables: ARDL Approach
Keywords:
Banking Stock Price Index, Macroeconomic, Financial, Long-Run Equilibrium RelationshipAbstract
The objective of this research is to test the long-term equilibrium relationship between the banking stock price index and macroeconomic and financial variables, including 12 variables. Based on the test methodology of Pesaran et al. (2001), it showed there exist long-run relationship equlibrium among those variables. The variables significantly affecting the banking stock price index in the long-run are the stock price index of Thailand, general consumer price index, Gross Domestic Product, Federal Fund Rate and the ratio of non-performing loans to total loans.
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