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

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 &...

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Detalles Bibliográficos
Autores: Galí, Jordi, 1961-, Gambetti, Luca
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2015
País:España
Institución:Universitat Pompeu Fabra
Repositorio:Repositorio Digital de la UPF
OAI Identifier:oai:repositori.upf.edu:10230/26005
Acceso en línea:http://hdl.handle.net/10230/26005
http://dx.doi.org/10.1257/mac.20140003
Access Level:acceso abierto
Palabra clave:Leaning against the wind policies
Financial stability
Inflation targeting
Asset price booms
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spelling The effects of monetary policy on stock market bubbles: some evidenceGalí, Jordi, 1961-Gambetti, LucaLeaning against the wind policiesFinancial stabilityInflation targetingAsset price boomsWe 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)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.American Economic Association201620162015info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfapplication/pdfhttp://hdl.handle.net/10230/26005http://dx.doi.org/10.1257/mac.20140003reponame:Repositorio Digital de la UPFinstname:Universitat Pompeu FabraInglésAmerican Economic Journal: Macroeconomics. 2015;7(1):233-57info:eu-repo/grantAgreement/EC/FP7/339656info:eu-repo/grantAgreement/ES/3PN/ECO2012-32392© American Economic Association. Can be found at http://dx.doi.org/10.1257/mac.20140003info:eu-repo/semantics/openAccessoai:repositori.upf.edu:10230/260052026-06-12T07:21:37Z
dc.title.none.fl_str_mv The effects of monetary policy on stock market bubbles: some evidence
title The effects of monetary policy on stock market bubbles: some evidence
spellingShingle The effects of monetary policy on stock market bubbles: some evidence
Galí, Jordi, 1961-
Leaning against the wind policies
Financial stability
Inflation targeting
Asset price booms
title_short The effects of monetary policy on stock market bubbles: some evidence
title_full The effects of monetary policy on stock market bubbles: some evidence
title_fullStr The effects of monetary policy on stock market bubbles: some evidence
title_full_unstemmed The effects of monetary policy on stock market bubbles: some evidence
title_sort The effects of monetary policy on stock market bubbles: some evidence
dc.creator.none.fl_str_mv Galí, Jordi, 1961-
Gambetti, Luca
author Galí, Jordi, 1961-
author_facet Galí, Jordi, 1961-
Gambetti, Luca
author_role author
author2 Gambetti, Luca
author2_role author
dc.subject.none.fl_str_mv Leaning against the wind policies
Financial stability
Inflation targeting
Asset price booms
topic Leaning against the wind policies
Financial stability
Inflation targeting
Asset price booms
description 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)
publishDate 2015
dc.date.none.fl_str_mv 2015
2016
2016
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/10230/26005
http://dx.doi.org/10.1257/mac.20140003
url http://hdl.handle.net/10230/26005
http://dx.doi.org/10.1257/mac.20140003
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv American Economic Journal: Macroeconomics. 2015;7(1):233-57
info:eu-repo/grantAgreement/EC/FP7/339656
info:eu-repo/grantAgreement/ES/3PN/ECO2012-32392
dc.rights.none.fl_str_mv © American Economic Association. Can be found at http://dx.doi.org/10.1257/mac.20140003
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © American Economic Association. Can be found at http://dx.doi.org/10.1257/mac.20140003
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
application/pdf
dc.publisher.none.fl_str_mv American Economic Association
publisher.none.fl_str_mv American Economic Association
dc.source.none.fl_str_mv reponame:Repositorio Digital de la UPF
instname:Universitat Pompeu Fabra
instname_str Universitat Pompeu Fabra
reponame_str Repositorio Digital de la UPF
collection Repositorio Digital de la UPF
repository.name.fl_str_mv
repository.mail.fl_str_mv
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