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)

Date:	2015
Abstract:	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.
Grants:	Ministerio de Economía y Competitividad ECO2012-32392 European Commission 339656
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Language:	Anglès
Document:	Article ; recerca ; Versió publicada
Subject:	Monetary policy ; Stabilization policies ; Asset price volatility
Published in:	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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