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New shocks, exchange rates and equity prices
Matsumoto, Akito (Avtor)

URLURL - Predstavitvena datoteka, za dostop obiščite http://www.imf.org/external/pubs/ft/wp/2008/wp08284.pdf Povezava se odpre v novem oknu

Izvleček
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 more volatile without affecting the volatility of the underlying processes - - a positive correlation between news and current shocks. This condition also explains why persistent underlying processes generate volatile asset prices. In addition, we show that the correlation between exchange rate and equity returns depends critically on the currency denomination of the equity return and the monetary policy reaction to productivity shocks. The model we set up does well at matching second moments of exchange rate and equity returns for major floating currencies.

Jezik:Angleški jezik
Ključne besede:finance, devizni tečaji, monetarna politika, produktivnost, cena, donosnost kapitala, dinamika, ekonometrija, modeli, finance, exchange rate, monetary policy, productivity, price, return on equity, dynamics, econometrics, models
Vrsta gradiva:Delo ni kategorizirano (r6)
Organizacija:EF - Ekonomska fakulteta
Leto izida:2008
Založnik:International Monetary Fund
Št. strani:36 str.
Kraj:Washington (D.C.)
UDK:336.76
COBISS.SI-ID:18516966 Povezava se odpre v novem oknu
Število ogledov:398
Število prenosov:143
Metapodatki:XML RDF-CHPDL DC-XML DC-RDF
 
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