Economics at your fingertips  

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

Petre Caraiani and Adrian Cantemir Calin

Economics Letters, 2018, vol. 169, issue C, 55-58

Abstract: 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.

Keywords: Bubbles; VAR; Monetary policy (search for similar items in EconPapers)
JEL-codes: E5 (search for similar items in EconPapers)
Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (3) Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2019-10-13
Handle: RePEc:eee:ecolet:v:169:y:2018:i:c:p:55-58