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Do monetary and technology shocks move euro area stock prices?

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  • Berg, Tim Oliver

Abstract

I use a Bayesian vector autoregressive (VAR) model to investigate the impact of monetary and technology shocks on the euro area stock market in 1987-2005. I find an important role for technology shocks, but not monetary shocks, in explaining variations in real stock prices. The identification method is flexible enough to study the effects of technology news shocks. The responses are consistent with the idea that news on technology improvements have an immediate impact on stock prices. These findings are robust to several modelling choices, including the productivity measure, omitted variables, and the identifying restrictions.

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Bibliographic Info

Paper provided by University Library of Munich, Germany in its series MPRA Paper with number 23973.

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Date of creation: 19 May 2010
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Handle: RePEc:pra:mprapa:23973

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Keywords: monetary policy; technology shocks; news; stock prices; Bayesian VAR;

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Cited by:
  1. Ronayne, David, 2011. "Which Impulse Response Function?," The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics 971, University of Warwick, Department of Economics.

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