The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence
用时间变系数VAR模型估计股票价格对货币政策冲击的反应，发现紧缩政策反而导致股价持续上涨，与常规观点和无泡沫模型预测相悖。
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.