C++: Throwing exceptions, use 'new' or not?

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Is it proper to use throw new FoobarException(Baz argument); or throw FoobarException(Baz argument);?

When catching I always use catch(FoobarException& e) "just in case" but I never could find a solid answer whether I had to use new or not in C++ (Java definitely) or if it was just a preference of the programmer.

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