Влияние основных макроэкономических показателей на динамику индекса S&P 500

Экономика и предпринимательство. 2022. № 2. С. 205–214.

Kleiman V.

This article explores how the S&P 500 index is influenced by the main macroeconomic indicators and how they are interconnected - this question is relevant, since I proceed from the fact that the stock market is a reflection of the country's economy, and for what reason then after the fall of the stock index then grows by more than 100% and continues its bullish trend, despite the fact that the problems that exist in the economy have not been resolved. In the empirical part of the work, based on the Johansen and Engle-Grenger test, cointegration was carried out between the main variables of the study. To do this, we used the annual dynamics data for the following indicators: SP500, State. Reserves, effective federal funds rate and 3-year government bonds. The stationarity of the series, structural shifts in their dynamics were also studied

Keywords: фондовый рынок, денежно-кредитная политика, макроэкономика, monetary policy, macroeconomics, S&P500, Stock market, COVID-19, S&P500, time series cointegration, Johansen and Angle-Grenger test, коинтеграция временных рядов, тест Йохансена и Энгла-Гренджера, COVID-19