Do monetary and technology shocks move euro area stock prices?
Tim Berg ()
MPRA Paper from University Library of Munich, Germany
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 modelling choices, including the productivity measure, omitted variables, and the identifying restrictions.
Keywords: monetary policy; technology shocks; news; stock prices; Bayesian VAR (search for similar items in EconPapers)
JEL-codes: G1 E52 E44 O33 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cba and nep-fmk
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Journal Article: Did monetary or technology shocks move euro area stock prices? (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:23973
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