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...
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| Outros Autores: | , , |
| Formato: | Periódico |
| Idioma: | English |
| Publicado em: |
Washington, D.C. :
International Monetary Fund,
2011.
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| coleção: | IMF Working Papers; Working Paper ;
No. 2011/110 |
| Acesso em linha: | Full text available on IMF |