Ekonomisti su tradicionalno smatrali čimbenike poput kapitala, rada i tehnologije kao jedine faktore koji su važni u procesu gospodarskoga rasta. Međutim, promjene u teoriji ekonomskoga rasta posljednjih nekoliko desetljeća dovele su do pomaka u fokusu literature ekonomskoga rasta od tih tradicionalnih prema drugim čimbenicima koji isto tako mogu doprinijeti rastu gospodarstva, a koji uključuju financijski razvoj, makroekonomsko okruženje, političku stabilnost, izravna strana ulaganja, itd. Ovaj rad bavi se jednim od takvih čimbenika, financijskim razvojem, s naglaskom na razvoj tržišta kapitala, te njegovim utjecajem na gospodarski rast. Uloga financijskoga razvoja u gospodarskom rastu je dobila značajnu pažnju u znanstvenim krugovima zadnjih dvadesetak godina, međutim fokus je bio gotovo isključivo na bankama kao financijskim institucijama, ignorirajući pri tome mogući utjecaj razvoja tržišta dionica. Postojanje veze između razvoja tržišta dionica i gospodarskoga rasta nije općeprihvaćeno u literaturi ekonomskoga rasta zahvaljujući nedosljednosti u rezultatima dostupnih studija koje su se bavile istraživanjem toga odnosa. Dobiveni rezultati empirijskih studija razvijenih zemalja ukazuju na egzistiranje pozitivnih odnosa između tržišta kapitala i ekonomskog rasta, dok rezultati studija za zemlje u razvoju nisu jednoznačne o prirodi toga odnosa. U ovom radu, temeljni znanstveni problem je fokusiran na mjerenje razvoja tržišta kapitala i utvrđivanja njegovoga utjecaja na ekonomski rast RH korišenjem kapitalizacije i prometa Zagrebačke burze, te njezinom brzinom prometa i volatilnošću kao indikatorima razvijenosti domaćeg tržišta. Bivarijantnim vektorskim autoregresijskim modeliranjem navedena četiri indikatora razvijenosti, njihov je utjecaj na kretanje stope rasta i statistički dokazan.
|Abstract (english)|| |
The empirical results of recent financial development research point to an important change in the role of the financial sector in the growth of the economy - from strong reliance on basic banking services among developing countries to an increasingly significant turnaround to the role of the capital market in developed countries, which leads to the conclusion that the financial drivers of economic growth move from the basic services provided by the banking sector in the form of deposits and credit operations, to more efficient and sophisticated services through the capital market. This development brings the attention of the scientists to more detailed research of financial development process and its relation to the changes in the countries' economic growth. The financial market is a place where potential borrowers and lenders can negotiate the terms of mutual financial transactions regulated by different forms of financial instruments. In addition to the development of financial markets, the concepts of financial penetration and financial deepening, respectively, are two financial development processes that represent an increase in financial width and an increase in financial depth of the domestic financial market. Financial penetration takes place when borrowers and lenders form new financial contracts implemented in new types of financial instruments. Increasing financial depth, on the other hand, is a process in which financial market participants intensify the use of existing instruments which results the growth in volume of financial transactions. Increasing financial depth is part of the financial development process, so it is understandable that the financial depth indicators are most often used as indicators of financial development. The development of the capital market as an integral part of financial development is one of the main drivers of economic growth in developed countries. Organized capital market can lead to economic growth because it enables to raise funds from long-term sources with the aim of financing prospective investments. These markets have the ability to efficiently disperse higher risk levels of long-term investment projects in relation to short-term investments, thus affecting the reduction of capital cost to the corporate sector. Likewise, they provide channels for effective corporate governance and allocation of financial resources, channeling funds to more prosperous and more profitable investments. The current scientific research on the subject of financial development conducted in the Republic of Croatia did not deal with the capital market - economic growth nexus in a manner that would allow to make the conclusions as obtained in this dissertation, thus achieving the purpose and objectives of the research in theoretical and applicative terms. In the theoretical part, the determinants of financial development, and in particular the development of the capital market in the segment in which it stimulates growth of the country's economy, are explored. In the applicative part, econometric modeling of Croatian economic growth was carried out with indicators of development of the domestic capital market. Time series of collected data were analyzed by descriptive statistics and vector autoregressive modeling, modern econometric methodology, which enables better autocorrelated data analysis with present heteroskedasticity. This paper empirically explored the relationship between the capital market development indicators and the growth rate of the Croatian economy using the collected quarterly data for the period 2001-2005. Over the 15 years the values of the proxies of the capital market development variables were measured for which it was intended to determine whether and to what extent affect the GDP growth rate of the Republic of Croatia in the observed period ie whether between the above values and rates of economic growth could be determined statistically significant relation. The measurement of the capital market development in this research has been carried out by the values of four proxy variables. The first two show market capitalization and the realized turnover of the Zagreb Stock Exchange in domestic GDP, with the first variable pointing to the size of the market ie the financial depth of this segment of the financial market and the second to the level of its liquidity. The Zagreb Stock Exchange market turnover and its market capitalization ratio measures the velocity rate of capital turnover in this segment of the Croatian financial system and shows its level of efficiency. The fourth-used proxy variable measures the level of risk of the capital market through its volatility, following the average quarterly fluctuation rate of the CROBEX stock exchange index and represents the fourth aspect of modeling the dynamics of the capital market's activity on domestic economic growth. Volatility is one of the market characteristics which is much more present in emerging markets. Namely, market development increases its liquidity and efficiency, improves stability, and affects the prolongation of the investor's investment horizon, which reduces volatility and market risk. However, if the market is shallow and characterized by illiquid financial instruments with low market capitalization, this will have the effect of reducing its ability to absorb significant capital inflows and result in increased stock volatility that destabilize domestic economy. Therefore, the measurement of the stock market volatility is the subject of interest not only of equity holders and stock market investors who are by definition risk averse, but as well as for state policymakers whose goal is the stability of the country's economic system. Namely, the unstable business environment leads to greater asymmetry of information between the investor and the issuer and in market iliquidity resulting from a lack of investor interest. Since asymmetry means unequal access to quality and verified information, which discourages investor participation in financial transactions, without system stability and minimizing the level of asymmetry, the liquidity and available capital for financing investment project will start reducing which will with time destabilize economic system. The scientific hypothesis of this dissertation is based on the assumption that the analysis of empirical data can prove the existence of a statistically significant relationship between the degree of capital market development and the rate of economic growth in Croatia. This scientific hypothesis implies the following auxiliary hypotheses:
• Greater stock market turnover has a positive impact on GDP growth rate
• Greater market capitalization has a positive effect on the GDP growth rate
• Greater stock market turnover has a positive impact on GDP growth rate
• Less market volatility has a positive effect on the GDP growth rate
The results of the analysis of empirical data and the testing of the dynamics of the relation between financial proxy variables and GDP growth rates confirm that there is statistically significant linkage between the capital market development indicators and the Croatian economic growth rate. From the results of vector autoregressive modeling of the relationship of the mentioned variables ie from the impulse response functions of some indicators and GDP growth rate, it is evident that all four indicators of capital market development have a significant impact on GDP trends, in accordance to the auxiliary hypotheses of this study. The domestic capital market is clearly stimulating economic growth, which will effectuate by improving the quality of investment climate in the country, facilitating access to capital, reducing cost of financing the economy and raising liquidity of the system. Providing liquidity to the economy is one of the main channels linking capital market development and economic growth since an organized, liquid market characterized by active trading between different investors and issuers provides exit strategies for investors and issuers in any situation where the need for monetizing existing investments occurs. Liquidity is therefore a key feature of market development, especially as the high level of liquidity of financial instruments decreases the capital owners' expectations for investment financing, thus reducing the financing costs of issuers. The liquidity of the Croatian capital market correlates with the movement of the growth rate of the domestic economy so the capital market is not a substitute but complementary factor to the banking industry in the Croatian financial structure. In conclusion, it should be emphasized that this dissertation did not consider the role of external factors such as financial regulation or political risk that could improve or limit the development of the financial sector and economic growth of the country. In future research, it would be useful to include such variables in modeling the country's economic growth, in accordance to the data availability. It is also necessary to examine whether there are any mediation impacts of other financial and macroeconomic indicators such as inflation rate, exchange rate movements, unemployment rate, interest rates, foreign exchange reserves, etc to the relationship between the capital market and the growth of the economy.