Exploring the international transmission of U.S. stock price movements

Berg, Tim Oliver (2010): Exploring the international transmission of U.S. stock price movements.

Abstract

I investigate the transmission of U.S. stock price shocks to real activity and prices in G-7 countries using a multicountry vector autoregressive (VAR) model. I achieve identification by imposing a small number of sign restrictions on impulse responses, while controlling for monetary policy, business cycle and government spending shocks. The results suggest that (a) stock price movements are important for fluctuations in G-7 real activity and prices but do not qualify as demand side business cycle shocks and (b) the transmission is similar across G-7 countries.

• Item Type: MPRA Paper
• Language: English
• Keywords: international transmission, stock prices, G-7 countries, multicountry VAR, identification with sign restrictions
• Subjects: F - International Economics > F3 - International Finance > F30 - General; E - Macroeconomics and Monetary Economics > E4 - Money and Interest Rates > E44 - Financial Markets and the Macroeconomy; C - Mathematical and Quantitative Methods > C3 - Multiple or Simultaneous Equation Models ; Multiple Variables > C33 - Panel Data Models ; Spatio-temporal Models

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