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New Shocks, Exchange Rates and Equity Prices1

New Shocks, Exchange Rates and Equity Prices1 »

Source: New Shocks, Exchange Rates and Equity Prices

Volume/Issue: 2008/284

Series: IMF Working Papers

Author(s): Pietro Cova , Alessandro Rebucci , Akito Matsumoto , and Massimiliano Pisani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

ISBN: 9781451871425

Keywords: News Shocks, Persistence, exchange rate, money supply, exchange rate volatility,

We study exchange rate and equity price dynamics, in general equilibrium, in the presence of news shocks about future productivity and monetary policy. We identify a condition under which these asset prices become...

Macroeconomic News and Stock Returns in the United States and Germany

Macroeconomic News and Stock Returns in the United States and Germany »

Source: Macroeconomic News and Stock Returns in the United States and Germany

Volume/Issue: 2002/239

Series: IMF Working Papers

Author(s): Norbert Funke , and Akimi Matsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

ISBN: 9781451875782

Keywords: macroeconomic news, news, stock prices, stock market, stock returns, Financial Markets and the Macroeconomy, Country and Industry Studies of Trade,

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypothe...

New Shocks, Exchange Rates and Equity Prices

New Shocks, Exchange Rates and Equity Prices »

Volume/Issue: 2008/284

Series: IMF Working Papers

Author(s): Pietro Cova , Alessandro Rebucci , Akito Matsumoto , and Massimiliano Pisani

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2008

DOI: http://dx.doi.org/10.5089/9781451871425.001

ISBN: 9781451871425

Keywords: News Shocks, Persistence, exchange rate, money supply, exchange rate volatility,

We study exchange rate and equity price dynamics, in general equilibrium, in the presence of news shocks about future productivity and monetary policy. We identify a condition under which these asset prices become...

Macroeconomic News and Stock Returns in the United States and Germany

Macroeconomic News and Stock Returns in the United States and Germany »

Volume/Issue: 2002/239

Series: IMF Working Papers

Author(s): Norbert Funke , and Akimi Matsuda

Publisher: INTERNATIONAL MONETARY FUND

Publication Date: 01 December 2002

DOI: http://dx.doi.org/10.5089/9781451875782.001

ISBN: 9781451875782

Keywords: macroeconomic news, news, stock prices, stock market, stock returns, Financial Markets and the Macroeconomy, Country and Industry Studies of Trade,

Using daily data for the January 1997 to June 2002 period, we analyze the impact of a broad set of macroeconomic news on stock prices in the United States and Germany. With GARCH specifications we test five hypothe...