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Monetray policy and asset price bubbles

 

Notice

Type:   Working paper
 
Titre:   Monetray policy and asset price bubbles
 
Auteur(s):   Blot, Christophe (1974-...) - Observatoire français des conjonctures économiques (Auteur)
Hubert, Paul (1983-...) - Observatoire français des conjonctures économiques (Auteur)
Labondance, Fabien - Observatoire français des conjonctures économiques (Auteur)
 
Date de publication:   2018-11
 
Éditeur:   Paris  :  OFCE
 
Collection:   Working paper de l'OFCE  :  37
 
Mots-clés:   [en] Booms and busts, Mispricing, Price deviations, Interest rate policy, Unconventional monetary policy
 
JEL:   E44,  G12,  E52
 
Résumé:   [en] 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.
 
URL:   https://www.ofce.sciences-po.fr/pdf/dtravail/OFCEWP2018-37.pdf
 
 

Fichiers

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Version de l'éditeur wp2018-37-monetary-policy-and-asset-price-bubbles-cblot.pdf 2,29 MB