New Shocks and Asset Price Volatility in General Equilibrium /

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...

पूर्ण विवरण

ग्रंथसूची विवरण
मुख्य लेखक:	Rebucci, Alessandro
अन्य लेखक:	Cova, Pietro, Matsumoto, Akito, Pisani, Massimiliano
स्वरूप:	पत्रिका
भाषा:	English
प्रकाशित:	Washington, D.C. : International Monetary Fund, 2011.
श्रृंखला:	IMF Working Papers; Working Paper ; No. 2011/110
ऑनलाइन पहुंच:	Full text available on IMF

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