The effects of monetary policy on stock market bubbles some evidence
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, after a a short-run decline, stock prices increase persistently in response to an exogenous tightening of monetary policy. 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.
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The effects of monetary policy on stock market bubbles: Some evidence
Some Evidence ," NBER Chapters ,in: Lessons from the Financial Crisis for Monetary Policy National Bureau of Economic Research, Inc. Some Evidence ," NBER Working Papers , National Bureau of Economic Research, Inc. Some Evidence ," CEPR Discussion Papers , C. Some Evidence ," Working Papers , Barcelona Graduate School of Economics. Find related papers by JEL classification: E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates This paper has been announced in the following NEP Reports: NEP-ALL All new papers NEP-CBA Central Banking NEP-MAC Macroeconomics NEP-MON Monetary Economics References References listed on IDEAS Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.: Economics , Universidad Carlos III de Madrid.
Some International Evidence ," International Journal of Central Banking , International Journal of Central Banking, vol. How did the fed respond to the stock market? Patelis, Alex D, The Response of Asset Prices to Monetary Policy Actions and Statements ," International Journal of Central Banking , International Journal of Central Banking, vol. The Response of Asset Prices to Monetary Policy Actions and Statements ," MPRA Paper , University Library of Munich, Germany.
The Response of Asset Prices to Monetary Policy Actions and Statements ," Macroeconomics , EconWPA. The Response of Asset Prices to Monetary Policy Actions and Statements ," Computing in Economics and Finance , Society for Computational Economics.
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Effects across Countries ," Globalization and Monetary Policy Institute Working Paper , Federal Reserve Bank of Dallas. Effects across countries ," CAMA Working Papers , Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
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