Replication data for: The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
Principal Investigator(s): View help for Principal Investigator(s) Jordi Galí; Luca Gambetti
Version: View help for Version V1
Name | File Type | Size | Last Modified |
---|---|---|---|
ReplicationFilesGaliGambettiAEJ2014 | 10/12/2019 07:31:PM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 03:31:PM |
Project Citation:
Galí, Jordi, and Gambetti, Luca. Replication data for: The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence. Nashville, TN: American Economic Association [publisher], 2015. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114084V1
Project Description
Summary:
View help for Summary
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)
Scope of Project
JEL Classification:
View help for JEL Classification
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
E43 Interest Rates: Determination, Term Structure, and Effects
E44 Financial Markets and the Macroeconomy
E52 Monetary Policy
G12 Asset Pricing; Trading Volume; Bond Interest Rates
G14 Information and Market Efficiency; Event Studies; Insider Trading
Related Publications
Published Versions
Report a Problem
Found a serious problem with the data, such as disclosure risk or copyrighted content? Let us know.
This material is distributed exactly as it arrived from the data depositor. ICPSR has not checked or processed this material. Users should consult the investigator(s) if further information is desired.