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1 novembre 2018
- handle: 10670/1.9hx1e7
- hal: hal-03471562
- SCIENCESPO: 2441/3eg9t5b1sb8phpnt79jr73qjr7
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info:eu-repo/semantics/altIdentifier/hdl/2441/3eg9t5b1sb8phpnt79jr73qjr7
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Mots-clés
Booms and busts Mispricing Price deviations Interest rate policy Unconventional monetary policy E - Macroeconomics and Monetary Economics/E.E4 - Money and Interest Rates/E.E4.E44 - Financial Markets and the Macroeconomy G - Financial Economics/G.G1 - General Financial Markets/G.G1.G12 - Asset Pricing • Trading Volume • Bond Interest Rates E - Macroeconomics and Monetary Economics/E.E5 - Monetary Policy, Central Banking, and the Supply of Money and Credit/E.E5.E52 - Monetary PolicySujets proches
Monetary managementCiter ce document
Christophe Blot et al., « Monetray policy and asset price bubbles », Archive ouverte de Sciences Po (SPIRE), ID : 10670/1.9hx1e7
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Résumé
This paper assesses the linear and non-linear dynamic effects of monetary policy on asset price bubbles. We use a Principal Component Analysis to estimate new bubble indicators for the stock and housing markets in the United States based on structural, econometric and statistical approaches. We find that the effects of monetary policy are asymmetric so the responses to restrictive and expansionary shocks must be differentiated. Restrictive monetary policy is not able to deflate asset price bubbles contrary to the “leaning against the wind” policy recommendations. Expansionary interest rate policies would inflate stock price bubbles whereas expansionary balance-sheet measures would not.