Abstract

http://ssrn.com/abstract=1640005
 
 

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Do Monetary and Technology Shocks Move Euro Area Stock Prices?


Tim Oliver Berg


CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute

May 19, 2010


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 modeling choices, including the productivity measure, omitted variables, and the identifying restrictions.

Number of Pages in PDF File: 25

Keywords: Monetary Policy, Technology Shocks, News, Stock Prices, Bayesian VAR

JEL Classification: E44, E52, G1, O33

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Date posted: July 15, 2010  

Suggested Citation

Berg, Tim Oliver, Do Monetary and Technology Shocks Move Euro Area Stock Prices? (May 19, 2010). Available at SSRN: http://ssrn.com/abstract=1640005 or http://dx.doi.org/10.2139/ssrn.1640005

Contact Information

Tim Oliver Berg (Contact Author)
CESifo (Center for Economic Studies and Ifo Institute) - Ifo Institute ( email )
Poschinger Str. 5
Munich, 81679
Germany
HOME PAGE: http://www.ifo.de
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