The effects of monetary policy on stock market bubbles at zero lower bound: Revisiting the evidence

被引：19
|
作者：
Caraiani, Petre [1 ]
Calin, Adrian Cantemir [1 ,2 ]
机构：
[1] Romanian Acad, Inst Econ Forecasting, Bucharest, Romania
[2] Bucharest Univ Econ Studies, Bucharest, Romania
来源：
ECONOMICS LETTERS | 2018年 / 169卷
关键词：
Bubbles; VAR; Monetary policy;
D O I：
10.1016/j.econlet.2018.05.014
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We revisit the results in Gali and Gambetta (2015) by reestimating their time-varying Bayesian VAR model including the shadow rate of Wu and Xia (2016). We found some significant differences when looking at the results during and in the aftermath of the crisis: with the shadow rate, the impact of monetary policy shocks on asset prices becomes negative. There is also a much lower positive impact of monetary policy shocks on bubbles when using the shadow rate. The impact is lower by almost three percentage points. (C) 2018 Elsevier B.V. All rights reserved.
引用
收藏
页码：55 / 58
页数：4
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