New Shocks and Asset Price Volatility in General Equilibrium /
We study equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1988) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. We show that introducing news shocks...
| 第一著者: | Rebucci, Alessandro |
|---|---|
| その他の著者: | Cova, Pietro, Matsumoto, Akito, Pisani, Massimiliano |
| フォーマット: | 雑誌 |
| 言語: | English |
| 出版事項: |
Washington, D.C. :
International Monetary Fund,
2011.
|
| シリーズ: | IMF Working Papers; Working Paper ;
No. 2011/110 |
| オンライン・アクセス: | Full text available on IMF |
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