New Shocks and Asset Price Volatility in General Equilibrium

New Shocks and Asset Price Volatility in General Equilibrium
We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. We show that introducing news shocks in a canonical dynamic stochastic general... READ MORE...

Publication date: May 2011
ISBN 9781455261390
$18.00

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