Replication data for: The Effects of Monetary Policy on Stock Market Bubbles: Some Evidence

Luca Gambetti & Jordi Galí
We estimate the response of stock prices to monetary policy shocks using a time-varying coefficients VAR. Our evidence points to protracted episodes in which stock prices end up increasing persistently in response to an exogenous tightening of monetary policy. That response is 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...
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