The Impact of Macroeconomic Variables on Polish Stock Prices (2005-2024)
Year: 2024
Type: article
Abstract: This study examines the relationship between Poland's stock prices and three key macroeconomic factors: GDP growth, inflation, and interest rates. Using econometric tools like Granger causality tests, Vector Autoregression (VAR), and Impulse Response Functions (IRF), I assessed how these factors influence the Warsaw Stock Exchange (WIG Index) using quarterly data (2005-2024). The results showed a significant negative connection between interest rates, inflation, and stock prices: a 1% rise in interest rates leads to a 0.85% drop in stock prices in the following quarter. Inflation also negatively affects stock prices, with a 1% increase leading to a 0.40% decrease. Conversely, GDP growth positively impacts stock prices, where a 1% rise in GDP results in a 0.6% increase.The Granger causality test underscores the importance of monetary policy, showing that interest rate changes may predict stock market movements. Inflation is important; however, it is less predictive than GDP growth, which has a moderate positive impact on stock prices. These findings highlight the sensitivity of Poland's stock market to macroeconomic changes, offering valuable insights for analysts, investors, and policymakers. Future research could include additional factors like exchange rates or international trade to deepen the analysis.
Authors: Asgar Alhasanov, Elnur Gadirli
Institution: JPMorgan Chase & Co (United States)
Language: English
Subfield: Economics and Econometrics
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6930818877
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