| Abstract | Kamatne stope i stopa inflacije kao komponenta nominalnih kamatnih stopa neke su od najvažnijih makroekonomskih varijabli, a njihov utjecaj na dionička tržišta je tema akademskih istraživanja, ali podjednako i svakodnevnih financijskih vijesti. Iznenadni šokovi, odnosno neočekivane promjene u kamatnim stopama snažno su utjecale na cijene dionica, no taj odnos nije jednostavan niti jednoznačan. Ovaj rad daje pregled teorijske osnove funkcioniranja kamatnih stopa i dioničkih tržišta, njihovog međuodnosa, te stručne literature koja se njime bavila.
Ne postoji konsenzus o tome kako kamatne stope utječu na cijene dionica, pogotovo zbog kompleksnosti odnosa i različitih načina mjerenja obiju varijabli. Sama razlika između korištenja nominalnih i realnih podataka, odnosno utjecaj inflacije, znatno utječe na rezultate.
Drugi problem u analizi odnosa je pitanje smjera kauzalnosti: čak kada se detektira korelacija u kretanju kamatnih stopa i cijena dionica, nije sigurno jesu li druge bile pod utjecajem prvih, prve pod utjecajem drugih, ili obje pod nekim trećim utjecajem.
Rad završava analizom povijesnih podataka koja ukazuje na važnost odabira pristupa i odgovarajućih varijabli. Kada se podaci analiziraju kao epizode naglog rasta ili pada kamatnih stopa, a kao varijable uzimaju realni podaci ili još bolje Shillerov CAPE omjer, može se zaključiti kako su u prošlosti kamatne stope negativno utjecale na razine cijena dionica. |
| Abstract (english) | Interest rates and inflation rates as components of nominal interest rates, are some of the most important macroeconomic variables, and their impact on stock markets is a subject of academic research, as well as daily financial news. Sudden shocks, or unexpected changes in interest rates, have had a strong impact on stock prices, but this relationship is neither simple nor unambiguous. This paper provides an overview of the theoretical basis of how interest rates and stock markets function, their interrelation, and the professional literature that has addressed this topic.
There is no consensus on how interest rates affect stock prices, especially due to the complexity of the relationship and the different ways of measuring both variables. The distinction between using nominal and real data, i.e., the impact of inflation, significantly influences the results. Another issue in analyzing the relationship is the question of the direction of causality: even when a correlation between interest rate movements and stock prices is detected, it is not certain whether the latter were influenced by the former, the former by the latter, or both by some third factor.
The paper concludes with an analysis of historical data, highlighting the importance of choosing the right approach and appropriate variables. When the data is analyzed as episodes of sudden increases or decreases in interest rates, and real data or, even better, Shiller's CAPE ratio is used as variables, it can be concluded that, in the past, interest rates have had a negative impact on stock price levels. |
