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

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  • Caraiani, Petre
  • Cǎlin, Adrian Cantemir

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.

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  • Caraiani, Petre & Cǎlin, Adrian Cantemir, 2020. "The impact of monetary policy shocks on stock market bubbles: International evidence," Finance Research Letters, Elsevier, vol. 34(C).
    • Handle: RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319303484
    DOI: 10.1016/j.frl.2019.08.016
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    References listed on IDEAS

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    1. Gambacorta, Leonardo & Signoretti, Federico M., 2014. "Should monetary policy lean against the wind?," Journal of Economic Dynamics and Control, Elsevier, vol. 43(C), pages 146-174.
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    6. Lawrence J. Christiano & Martin Eichenbaum & Charles L. Evans, 2005. "Nominal Rigidities and the Dynamic Effects of a Shock to Monetary Policy," Journal of Political Economy, University of Chicago Press, vol. 113(1), pages 1-45, February.
    7. Belke, Ansgar & Beckmann, Joscha, 2015. "Monetary policy and stock prices – Cross-country evidence from cointegrated VAR models," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 254-265.
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    10. Caraiani, Petre & Călin, Adrian Cantemir, 2018. "The effects of monetary policy on stock market bubbles at zero lower bound: Revisiting the evidence," Economics Letters, Elsevier, vol. 169(C), pages 55-58.
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    Cited by:

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    3. Yang, Yang & Tang, Yanling & Cheng, Kai, 2023. "Spillback effects of US unconventional monetary policy," Finance Research Letters, Elsevier, vol. 53(C).
    4. Oguzhan Cepni & Rangan Gupta & Qiang Ji, 2023. "Sentiment Regimes and Reaction of Stock Markets to Conventional and Unconventional Monetary Policies: Evidence from OECD Countries," Journal of Behavioral Finance, Taylor & Francis Journals, vol. 24(3), pages 365-381, July.

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