| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10070 |
| DP10070 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence | |
| Jordi Gali; Luca Gambetti | |
| 发表日期 | 2014-07-20 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | We estimate the response of stock prices to exogenous monetary policy shocks using a vector-autoregressive model with time-varying parameters. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy, even though they experience a small decline in the short run. That response is clearly 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 be accounted for by an endogenous response of the equity premium to the monetary policy shocks. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Leaning against the wind policies Financial stability Inflation targeting Asset price booms |
| URL | https://cepr.org/publications/dp10070 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538903 |
| 推荐引用方式 GB/T 7714 | Jordi Gali,Luca Gambetti. DP10070 The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence. 2014. |
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