Berg, Tim Oliver (2010): Do monetary and technology shocks move euro area stock prices?
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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.
Item Type: | MPRA Paper |
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Original Title: | Do monetary and technology shocks move euro area stock prices? |
Language: | English |
Keywords: | monetary policy, technology shocks, news, stock prices, Bayesian VAR |
Subjects: | G - Financial Economics > G1 - General Financial Markets E - Macroeconomics and Monetary Economics > E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit > E52 - Monetary Policy E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy O - Economic Development, Innovation, Technological Change, and Growth > O3 - Innovation ; Research and Development ; Technological Change ; Intellectual Property Rights > O33 - Technological Change: Choices and Consequences ; Diffusion Processes |
Item ID: | 23973 |
Depositing User: | Tim Oliver Berg |
Date Deposited: | 19 Jul 2010 13:39 |
Last Modified: | 26 Sep 2019 10:03 |
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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/23973 |