Int. J. of Accounting and Finance   »   2017 Vol.7, No.1

 

 

Title: Stock market crashes shocks and real economy in Tunisia

 

Authors: Haifa Hammami; Younes Boujelbene

 

Addresses:
Department of Applied Economics, Economics and Management University of Sfax, Menzel Chaker Road Km 4.5, 3013 Sfax, Tunisia
Department of Applied Economics, Economics and Management University of Sfax, Road of Aerodrome Km 4, 1013-3018 Sfax, Tunisia

 

Abstract: Our paper analyses the effect of stock market crashes shocks on the real economy in Tunisia using the vector autoregressive (VAR) model. On the one hand, the impulse response analysis shows that the real investment growth rate negatively reacts to stock market crashes shocks. On the other hand, the variance decomposition results suggest that the stock market crashes shocks explain a larger proportion of the variability in real investment growth rate. In contrast, the real industrial production growth rate, the real GDP growth rate and the real private consumption growth rate are only a little sensitive to Tunisian stock market crashes shocks.

 

Keywords: stock market crashes shocks; real economy; real investment growth rate; vector autoregressive model; VAR; impulse response; variance decomposition; Tunisia.

 

DOI: 10.1504/IJAF.2017.10004763

 

Int. J. of Accounting and Finance, 2017 Vol.7, No.1, pp.31 - 48

 

Date of acceptance: 16 Nov 2016
Available online: 21 Apr 2017

 

 

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