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Các cú sốc tiền tệ hay công nghệ đã ảnh hưởng đến giá cổ phiếu khu vực euro?
Tóm tắt
Sử dụng mô hình hồi quy vector Bayes (VAR), tôi nghiên cứu tác động của các cú sốc tiền tệ và công nghệ lên thị trường chứng khoán khu vực euro. Tôi nhận thấy vai trò quan trọng của các cú sốc bất ngờ về công nghệ, nhưng không phải cú sốc tiền tệ, trong việc giải thích các biến động của giá cổ phiếu thực. Cụ thể, chu kỳ bùng nổ và suy giảm rõ rệt từ năm 1995 đến 2003 chủ yếu là do các cú sốc bất ngờ về công nghệ. Phương pháp xác định cho phép tôi nghiên cứu các hiệu ứng của các cú sốc tin tức công nghệ. Các phản ứng nhất quán với ý tưởng rằng tin tức về những cải tiến công nghệ có tác động ngay lập tức đến giá cổ phiếu. Những phát hiện này là bền vững qua nhiều lựa chọn mô hình khác nhau, bao gồm cả đo lường năng suất, đặc điểm của mô hình VAR và các ràng buộc xác định.
Từ khóa
#cú sốc tiền tệ #cú sốc công nghệ #mô hình VAR #thị trường chứng khoán #khu vực euro #giá cổ phiếu thực #cú sốc bất ngờ về công nghệTài liệu tham khảo
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