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Export pricing and the cross-country correlation of stock prices

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  • Tervala, Juha

Abstract

This study analyses the cross-country correlation of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. It is shown that cross-country correlations of stock prices greatly depend on the currency of export pricing in the case of monetary shocks but not notably for temporary technology shocks. In the case of a money supply shock, the producer (local) currency pricing version of the model generates negative (positive) cross-country correlation of stock prices.

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File URL: http://www.sciencedirect.com/science/article/pii/S1058330011000127
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Bibliographic Info

Article provided by Elsevier in its journal Review of Financial Economics.

Volume (Year): 20 (2011)
Issue (Month): 2 (May)
Pages: 74-83
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:eee:revfin:v:20:y:2011:i:2:p:74-83

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Web page: http://www.elsevier.com/locate/inca/620170

For corrections or technical questions regarding this item, or to correct its listing, contact: (Jeroen Loos).

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Keywords: Stock prices International business cycles Open economy;

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