The effects of monetary policy on stock market bubbles: some evidence
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- dc.contributor.author Galí, Jordi, 1961-ca
- dc.contributor.author Gambetti, Lucaca
- dc.date.accessioned 2016-03-17T13:34:23Z
- dc.date.available 2016-03-17T13:34:23Z
- dc.date.issued 2015ca
- dc.description.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. (JEL E43, E44, E52, G12, G14)
- dc.description.sponsorship Galí acknowledges the European Research Council for financial support under the European Union’s Seventh Framework Programme (FP7/2007–2013, ERC Grant agreement nº 339656). Gambetti gratefully acknowledges the financial support of the Spanish Ministry of Economy and Competitiveness through grant ECO2012-32392 and the Barcelona GSE Research Network.
- dc.format.mimetype application/pdfca
- dc.identifier.citation Gali J, Gambetti L. The effects of monetary policy on stock market bubbles: some evidence. Am Econ J Macroecon. 2015;7(1):233-57 DOI: 10.1257/mac.20140003ca
- dc.identifier.doi http://dx.doi.org/10.1257/mac.20140003
- dc.identifier.issn 1945-7707ca
- dc.identifier.uri http://hdl.handle.net/10230/26005
- dc.language.iso engca
- dc.publisher American Economic Associationca
- dc.relation.ispartof American Economic Journal: Macroeconomics. 2015;7(1):233-57
- dc.relation.projectID info:eu-repo/grantAgreement/EC/FP7/339656ca
- dc.relation.projectID info:eu-repo/grantAgreement/ES/3PN/ECO2012-32392
- dc.rights © American Economic Association. Can be found at http://dx.doi.org/10.1257/mac.20140003ca
- dc.rights.accessRights info:eu-repo/semantics/openAccessca
- dc.subject.keyword Leaning against the wind policies
- dc.subject.keyword Financial stability
- dc.subject.keyword Inflation targeting
- dc.subject.keyword Asset price booms
- dc.title The effects of monetary policy on stock market bubbles: some evidenceca
- dc.type info:eu-repo/semantics/articleca
- dc.type.version info:eu-repo/semantics/acceptedVersionca