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We study the effect of a “leaning against the wind” monetary policy on asset price bubbles in a learning‐to‐forecast experiment, where prices are driven by the expectations of market participants. We find that a strong interest rate response is successful in preventing or deflating large price bubbles, while a weak response is not. Giving information about the interest rate changes and communicating the goal of the policy increases coordination of expectations and has a stabilizing effect. When the steady‐state fundamental price is unknown and the interest rate rule is based on a proxy instead, the policy is less effective.