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

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ReplicationFilesGaliGambettiAEJ2014			10/12/2019 07:31:PM
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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: 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:
      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

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V1 [2019-10-12]

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