New Shocks, Exchange Rates and Equity Prices

New Shocks, Exchange Rates and Equity Prices
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.... READ MORE...

Publication date: December 2008
ISBN 9781451871425
$18.00

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