Undesired monetary policy effects in a bubbly world

被引：0

作者：

Ciccarone, Giuseppe ^{[1
]}

Giuli, Francesco ^{[2
]}

Marchetti, Enrico ^{[3
]}

Patella, Valeria ^{[1
]}

Tancioni, Massimiliano ^{[1
]}

机构：

[1] Sapienza Univ Rome, Rome, Italy

[2] Roma Tre Univ, Rome, Italy

[3] Parthenope Univ Naples, Naples, Italy

来源：

MACROECONOMIC DYNAMICS | 2024年 / 28卷 / 04期

关键词：

Monetary policy; Asset price bubble; Markov-switching; Monetary-financial interaction; Policy credibility; ASSET PRICE BUBBLES; RATIONAL BUBBLES; REGIME SWITCHES; MODEL; RISK; CONFIDENCE; DYNAMICS; MONEY;

D O I：

10.1017/S1365100523000317

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

Stock market bubbles arise as a joint monetary and financial phenomenon. We assess the potential of monetary policy in mitigating the onset of bubbles by means of a Markov-switching Bayesian Vector Autoregression model estimated on US 1960-2019 data. Bubbles are detected and dated from the regime-specific interplay among asset prices, fundamental values, and monetary policy shocks. We rationalize the empirical evidence with an Overlapping Generations model, able to generate a bubbly scenario with shifts in monetary policy, and where agents form beliefs over transition dynamics. By matching the VAR impulse responses, we find that procyclicality and financial instability align with high equity premia and the presence of asset price bubbles. Monetary policy tightening, by increasing real rates, is ineffective in deflating bubble episodes.

引用

页码：913 / 945

页数：33

共 78 条

[71] Learning and monetary policy shifts [J].