Export pricing and the cross‐country correlation of stock prices

descriptionPublicationkeyboard_double_arrow_right Article , Other literature type , Research , Preprint 01 Jan 2009 English Publisher:WileyJournal:Review of Financial Economics, volume 20, pages 74-83 (issn: 1058-3300, eissn: 1873-5924,

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Authors: Tervala Juha;

doi: 10.1016/j.rfe.2011.03.002 , 10.2139/ssrn.1513238

handle: 10419/212149

Export pricing and the cross‐country correlation of stock prices

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Abstract

AbstractThis study analyses the cross‐country correlation of stock prices (values of firms) using the basic New Open Economy Macroeconomics model. It is shown 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 negative (positive) cross‐country correlation of stock prices.

Related Organizations

University of Turku
Finland
University of Helsinki
Finland

Keywords

ta511, ddc:330, stock prices; international business cycles; open economy, jel: jel:E32, jel: jel:F30, jel: jel:F41, jel: jel:G10

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