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

Version
V0
Resource Type
Dataset
Creator
  • Galí, Jordi
  • Gambetti, Luca
Publication Date
2015-01-01
Description
  • Abstract

    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)
Availability
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Relations
  • Is supplemented by
    DOI: 10.1257/mac.20140003 (Text)
Publications
  • Galí, Jordi, and Luca Gambetti. “The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence.” American Economic Journal: Macroeconomics 7, no. 1 (January 2015): 233–57. https://doi.org/10.1257/mac.20140003.
    • ID: 10.1257/mac.20140003 (DOI)

Update Metadata: 2019-10-13 | Issue Number: 1 | Registration Date: 2019-10-13

Galí, Jordi; Gambetti, Luca (2015): Replication data for: The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence. Version: V0. ICPSR - Interuniversity Consortium for Political and Social Research. Dataset. http://doi.org/10.3886/E114084