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
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, O33working papers series
Date posted: July 15, 2010
© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo8 in 0.219 seconds