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dc.contributor.authorFullana, Olga (1)
dc.contributor.authorRuiz, Javier
dc.contributor.authorToscano, David
dc.date2021
dc.date.accessioned2022-02-23T09:42:59Z
dc.date.available2022-02-23T09:42:59Z
dc.identifier.issn1351847X
dc.identifier.urihttps://reunir.unir.net/handle/123456789/12493
dc.description.abstractIn this paper, we provide evidence on the role of conventional monetary policy in the dynamics of stock market bubbles. We analyze the response of stock market returns to monetary policy shocks but condition the analysis on both the direction of monetary policy surprises and business conditions. Following a two-step approach, we first use a structural vector autoregressive (SVAR) model to identify a proxy variable of monetary policy shocks, and then we apply a conditional regression to contemporary stock market returns and these monetary policy shocks to extract the implicit relationship between these variables in different scenarios. Our results show that monetary policy does not impact on stock market returns in a significant form in the scenario defined by positive shocks and expansion periods, i.e. the lower effectiveness of restrictive monetary policy shocks coincides with the phase of the business cycle in which bubbles arise. © 2020 Informa UK Limited, trading as Taylor & Francis Group.es_ES
dc.language.isoenges_ES
dc.relation.ispartofseries;vol. 27, nº 10
dc.relation.urihttps://www.tandfonline.com/doi/full/10.1080/1351847X.2020.1782960es_ES
dc.rightsrestrictedAccesses_ES
dc.subjectconditional regressionses_ES
dc.subjectexogenous monetary policy shockses_ES
dc.subjectsign-dependent scenarioses_ES
dc.subjectstate-dependent scenarioses_ES
dc.subjectstructural autoregressive vector modeles_ES
dc.subjectScopuses_ES
dc.subjectJCRes_ES
dc.titleStock market bubbles and monetary policy effectivenesses_ES
dc.typearticlees_ES
reunir.tag~ARIes_ES
dc.identifier.doihttps://doi.org/10.1080/1351847X.2020.1782960


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