The impact of monetary policy shocks on stock market bubbles: International evidence

Petre Caraiani and Adrian Cantemir Cǎlin
Authors registered in the RePEc Author Service: Adrian Cantemir Calin

Finance Research Letters, 2020, vol. 34, issue C

Abstract: We extend previous research on monetary policy shocks and their impact on stock market bubbles, by considering a consistent data set of OECD countries in a time-varying BVAR framework. We also take into account the zero lower bound. We further determine whether the measured impact is related to variables such as the degree of financial development, credit market conditions, or the business cycle indicators and consumer confidence.

Keywords: Stock markets; Bubbles; VAR; Monetary policy (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303484

DOI: 10.1016/j.frl.2019.08.016

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