Web of Science: 100 cites, Scopus: 111 cites, Google Scholar: cites,
The effects of monetary policy on stock market bubbles : some evidence
Galí, Jordi, 1961- (CREI lectures in macroeconomics)
Gambetti, Luca (Universitat Autònoma de Barcelona. Departament d'Economia i d'Història Econòmica)

Data: 2015
Resum: We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is at odds with the "conventional" view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence can be accounted for by an endogenous response of the equity premium to the monetary policy shock.
Ajuts: Ministerio de Economía y Competitividad ECO2012-32392
European Commission 339656
Drets: Tots els drets reservats.
Llengua: Anglès
Document: Article ; recerca ; Versió publicada
Matèria: Monetary policy ; Stabilization policies ; Asset price volatility
Publicat a: American economic journal. Macroeconomics, Vol. 7 Núm. 1 (2015) , p. 233-257, ISSN 1945-7715

DOI: 10.1257/mac.20140003


26 p, 3.5 MB

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 Registre creat el 2019-03-27, darrera modificació el 2022-09-03



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