Did monetary or technology shocks move euro area stock prices?

Tim Berg ()

Empirical Economics, 2012, vol. 43, issue 2, 693-722

Abstract: Using a Bayesian vector autoregressive (VAR) model, I investigate the impact of monetary and technology shocks on the euro area stock market. I find an important role for technology surprise shocks, but not monetary shocks, in explaining variations in real stock prices. Specifically, the pronounced boom–bust cycle of 1995–2003 is largely due to technology surprise shocks. The identification method allows me to study the effects of technology news shocks. The responses are consistent with the idea that news on technology improvements has an immediate impact on stock prices. These findings are robust to several modelling choices, including the productivity measure, the specification of the VAR model, and the identifying restrictions. Copyright Springer-Verlag 2012

Keywords: Monetary policy; Technology shocks; News; Stock prices; Boom–bust cycle; Euro area; Bayesian VAR; Sign restrictions; E44; E52; G1; O33 (search for similar items in EconPapers)
Date: 2012
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Working Paper: Do monetary and technology shocks move euro area stock prices? (2010)
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DOI: 10.1007/s00181-011-0497-5

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