Galí, Jordi; Gambetti, Luca - In: American Economic Journal: Macroeconomics 7 (2015) 1, pp. 233-57
We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence … monetary policy. That response is at odds with the "conventional" view on the effects of monetary policy on bubbles, as well as … endogenous response of the equity premium to the monetary policy shock. (JEL E43, E44, E52, G12, G14) …