The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

• 成果类型: Article
• 署名作者: Gali, Jordi; Gambetti, Luca
• 署名单位: Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Barcelona School of Economics; Autonomous University of Barcelona; Autonomous University of Barcelona
• 刊物名称: AMERICAN ECONOMIC JOURNAL-MACROECONOMICS
• ISSN/ISSBN: 1945-7707
• DOI: 10.1257/mac.20140003
• 发表日期: 2015
• 页码: 233-257
• 关键词: asset prices; respond

摘要

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.