01954cas a2200277 a 4500 AALejournalIMF007175 230101c9999 xx r poo 0 0eng d 5.00 USD 9781455261390 1018-5941 BD-DhAAL BD-DhAAL Rebucci, Alessandro. New Shocks and Asset Price Volatility in General Equilibrium / Alessandro Rebucci, Akito Matsumoto, Pietro Cova, Massimiliano Pisani. Washington, D.C. : International Monetary Fund, 2011. 1 online resource (34 pages) IMF Working Papers <strong>Off-Campus Access:</strong> No User ID or Password Required <strong>On-Campus Access:</strong> No User ID or Password Required Electronic access restricted to authorized BRAC University faculty, staff and students 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 in a canonical dynamic stochastic general equilibrium model may not reduce asset price volatility under plausible parameter assumptions. This is because, in general equilibrium, the asset cash flow itself may be affected by the introduction of news shocks. In addition, we show that neglecting to account for policy news shocks (e.g., policy announcements) can potentially bias empirical estimates of the impact of monetary policy shocks on asset prices. Mode of access: Internet Cova, Pietro. Matsumoto, Akito. Pisani, Massimiliano. IMF Working Papers; Working Paper ; No. 2011/110 Full text available on IMF http://elibrary.imf.org/view/journals/001/2011/110/001.2011.issue-110-en.xml IMF e-Library