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:
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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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