Abstract
The relationship between the performance of capital markets and changes in several macroeconomic variables has worried many researchers over time. This chapter focuses on two main areas: 1) the analysis of the behavior of per capita consumption and private investment expenditure using the model ARMA (m, n), and the impact of economic crisis on them, and 2) the examination of causal relationships between key macro-variables and selected key stock exchange indices. The analysis is carried out for the period 1995-2013 for Germany, Denmark, and Spain, which were selected on the basis of their economic position (GDP) in the European Union (E.U.). From the research, the authors found that the crisis of 2008-2009 had effects on households and businesses, which reduced their planning horizon with respect to consumption and investment. Regarding the second part of this study, the authors used the Granger causality test to find that the stock index DAX of Germany determines, to some extent, the changes in macroeconomic variables.
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