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Why Good Economic News Depressed Stock and Bond Prices in 1996
Originally published in Economics Letters
In the spring of 1996 good economic news depressed asset prices. This could have occurred because investors feared either inflation or a monetary contraction. Using a model with time-varying risk this paper presents evidence supporting the monetary contraction hypothesis.
In the spring of 1996 good economic news depressed asset prices. This could have occurred because investors feared either inflation or a monetary contraction. Using a model with time-varying risk this paper presents evidence supporting the monetary contraction hypothesis.
Find this article at ScienceDirect.
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