Universitat Autònoma de Barcelona
08193 Bellaterra (Barcelona) Spain
NBER Working Papers and Publications
|March 2014||The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence|
with Jordi Gali: w19981
We estimate the response of stock prices to exogenous monetary policy shocks using a vector-autoregressive model with time-varying parameters. Our evidence points to protracted episodes in which, after a short-run decline, stock prices increase persistently in response to an exogenous tightening of monetary policy. That response is clearly at odds with the "conventional" view on the effects of monetary policy on bubbles, as well as with the predictions of bubbleless models. We also argue that it is unlikely that such evidence be accounted for by an endogenous response of the equity premium to the monetary policy shocks.
|October 2013||The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence|
with Jordi Galí
in Lessons from the Financial Crisis for Monetary Policy, Mark Gertler, organizer
|July 2008||On the Sources of the Great Moderation|
with Jordi Gali: w14171
The remarkable decline in macroeconomic volatility experienced by the U.S. economy since the mid-80s (the so-called Great Moderation) has been accompanied by large changes in the patterns of comovements among output, hours and labor productivity. Those changes are reflected in both conditional and unconditional second moments as well as in the impulse responses to identified shocks. Among other changes, our findings point to (i) an increase in the volatility of hours relative to output, (ii) a shrinking contribution of non-technology shocks to output volatility, and (iii) a change in the cyclical response of labor productivity to those shocks. That evidence suggests a more complex picture than that associated with "good luck" explanations of the Great Moderation.
- Jordi Galí & Luca Gambetti, 2009. "On the Sources of the Great Moderation," American Economic Journal: Macroeconomics, American Economic Association, vol. 1(1), pages 26-57, January citation courtesy of
- Luca Gambetti & Jordi GalÃ, 2007. "On the sources of the Great Moderation," Proceedings, Federal Reserve Bank of San Francisco, issue Nov. citation courtesy of