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La BCE réagit-elle au prix des actifs financiers ?

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  • Dominique Pepin

    () (CRIEF - Centre de Recherche sur l'Intégration Economique et Financière - Université de Poitiers)

Abstract

We examine empirically whether financial asset prices may be admitted into the ECB interest rate rule. A correctly specified monetary policy rule implying that the ECB reacts to stock prices movements must include some measure of the gap between actual stock prices and fundamental values. We develop an original methodology to measure such a deviation, and we employed it as argument in an augmented interest rate rule. The empirical evidence suggests the following description of the European central banker: he significantly reacts to financial asset prices, by raising (lowering) the ECB main interest rate when stock prices are over(under)-evaluated; he is partisan of a wait-and-see policy, reacting only when the price gap is quite important; and he seems rather little conservative, believing that asset prices are driven mainly by nonfundamental factors.

Suggested Citation

  • Dominique Pepin, 2010. "La BCE réagit-elle au prix des actifs financiers ?," Working Papers hal-00963626, HAL.
  • Handle: RePEc:hal:wpaper:hal-00963626
    Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-00963626
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    References listed on IDEAS

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    Cited by:

    1. Claudiu Tiberiu ALBULESCU, 2011. "Macro-Financial Risks and Central Banks: What Changes Has the Crisis Triggered?," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, vol. 4(3(15)), pages 135-142.

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    Keywords

    stock prices; interest rate rule; ECB;

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