The effects of monetary policy on stock market bubbles: some evidence

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dc.contributor.authorGalí, Jordi, 1961-ca
dc.contributor.authorGambetti, Lucaca
dc.date.accessioned2016-03-17T13:34:23Z
dc.date.available2016-03-17T13:34:23Z
dc.date.issued2015ca
dc.description.abstractWe 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.sponsorshipGalí 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.mimetypeapplication/pdfca
dc.identifier.citationGali 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.doihttp://dx.doi.org/10.1257/mac.20140003
dc.identifier.issn1945-7707ca
dc.identifier.urihttp://hdl.handle.net/10230/26005
dc.language.isoengca
dc.publisherAmerican Economic Associationca
dc.relation.ispartofAmerican Economic Journal: Macroeconomics. 2015;7(1):233-57
dc.relation.projectIDinfo:eu-repo/grantAgreement/EC/FP7/339656ca
dc.relation.projectIDinfo: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.accessRightsinfo:eu-repo/semantics/openAccessca
dc.subject.keywordLeaning against the wind policies
dc.subject.keywordFinancial stability
dc.subject.keywordInflation targeting
dc.subject.keywordAsset price booms
dc.titleThe effects of monetary policy on stock market bubbles: some evidenceca
dc.typeinfo:eu-repo/semantics/articleca
dc.type.versioninfo:eu-repo/semantics/acceptedVersionca

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