Export Pricing and the Cross-Country Correlation of Stock Prices
University of Helsinki - Department of Political and Economic Studies
November 25, 2009
Bank of Finland Research Discussion Paper No. 28/2009
This study analyses cross-country correlations of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. We show that cross-country correlations of stock prices greatly depend on the currency of export pricing in the case of monetary shocks but not notably for temporary technology shocks. In the case of a money supply shock, the producer (local) currency pricing version of the model generates a negative (positive) cross-country correlation of stock prices.
Number of Pages in PDF File: 34
Keywords: stock prices, international business cycles, open economy
JEL Classification: E32, F30, F41, G10working papers series
Date posted: November 28, 2009
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