Export pricing and the cross-country correlation of stock prices

Juha Tervala

Review of Financial Economics, 2011, vol. 20, issue 2, 74-83

Abstract: This study analyses the cross-country correlation of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. It is shown 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 negative (positive) cross-country correlation of stock prices.

Keywords: Stock; prices; International; business; cycles; Open; economy (search for similar items in EconPapers)
Date: 2011
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Persistent link: https://EconPapers.repec.org/RePEc:eee:revfin:v:20:y:2011:i:2:p:74-83

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