货币政策对股价泡沫的非对称效应

IF 2.8 2区经济学 Q1 ECONOMICS

European Economic Review Pub Date : 2024-07-29 DOI:10.1016/j.euroecorev.2024.104824

Christophe Blot , Paul Hubert , Fabien Labondance

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引用次数: 0

摘要

美国货币政策对股价泡沫的影响是否不对称？为了探讨这个问题，我们计算了一系列与基本面无关的股价过度波动指标。我们发现货币政策的影响是不对称的，因此必须区分对紧缩和宽松冲击的反应。收紧货币政策的效果要强于放松货币政策的效果。我们还发现有证据表明，货币政策的非对称效应是与状态相关的，取决于货币、金融和商业周期。

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The asymmetric effects of monetary policy on stock price bubbles

Is the effect of US monetary policy on stock price bubbles asymmetric? To explore this question, we compute a range of measures of excessive stock price movements that are unrelated to fundamentals. We find that the effects of monetary policy are asymmetric, so that responses to tightening and easing shocks must be distinguished. The effects of monetary policy tightening are stronger than the effects of monetary policy easing. We also find evidence that the asymmetric effect of monetary policy is state-contingent and depends on monetary, financial and business cycles.

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来源期刊

European Economic Review ECONOMICS-

CiteScore

4.70

自引率

3.60%

发文量

170

期刊介绍： The European Economic Review (EER) started publishing in 1969 as the first research journal specifically aiming to contribute to the development and application of economics as a science in Europe. As a broad-based professional and international journal, the EER welcomes submissions of applied and theoretical research papers in all fields of economics. The aim of the EER is to contribute to the development of the science of economics and its applications, as well as to improve communication between academic researchers, teachers and policy makers across the European continent and beyond.