3 research outputs found
Identifying News Shocks with Forecast Data
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- Takushi Kurozumi
- Yasuo Hirose
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2012
- Field of study
News Shocks and Asset Price Volatility in General Equilibrium
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- Massimiliano Pisani
- Pietro Cova
- Publication venue
- 'Elsevier BV'
- Publication date
- 01/01/2011
- Field of study
This paper studies equity price volatility in general equilibrium with news shocks about future productivity and monetary policy. As West (1998) shows, in a partial equilibrium present discounted value model, news about the future cash flow reduces asset price volatility. This paper shows that introducing news shocks in 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 new shocks. In addition, it is shown 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
Revisiting Overborrowing and its Policy Implications
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- Publication venue
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- Publication date
- 01/01/2010
- Field of study