Quantitative easing and exuberance in stock markets: Evidence from the euro area q

【Author】 Hudepohl, Tom; van Lamoen, Ryan; de Vette, Nander

【Source】JOURNAL OF INTERNATIONAL MONEY AND FINANCE

【影响因子】2.762

【Abstract】In response to a prolonged period of low inflation, the ECB introduced QE in an attempt to steer inflation to its target of below, but close to, 2% in the medium term. This paper examines whether QE contributes to exuberance in euro area stock markets by using recent advances in bubble detection techniques (the GSADF test). We do so by linking price developments in ten euro area stock markets to a series of country specific macro fundamentals and QE. The results indicate that periods of QE coincide with exuberant investor behaviour, even after controlling for improving macro fundamentals. (c) 2021 Elsevier Ltd. All rights reserved.

【Keywords】Exuberance; Asset price bubbles; Unconventional monetary policy; Quantitative easing

【发表时间】2021 NOV

【收录时间】2022-01-01

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