Scandinavian Working Papers in Economics
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Bank of Finland Research Discussion Papers, Bank of Finland

No 28/2009:
Export pricing and the cross-country correlation of stock prices

Juha Tervala ()

Abstract: This study analyses cross-country correlations of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. We show that cross-country correlations of stock prices greatly depend on the currency of export pricing in the case of monetary shocks but not notably for temporary technology shocks. In the case of a money supply shock, the producer (local) currency pricing version of the model generates a negative (positive) cross-country correlation of stock prices.

Keywords: stock prices; international business cycles; open economy; (follow links to similar papers)

JEL-Codes: E32; F30; F41; G10; (follow links to similar papers)

31 pages, November 2, 2009

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This paper is published as:
Tervala, Juha, (2011), 'Export pricing and the cross-country correlation of stock prices', Review of Financial Economics, Vol. 20, No. 2, pages 74-83

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