Asset Bubbles and Global Imbalances

Asset Bubbles and Overlapping Generations

Asset Float and Speculative Bubbles

We model the relationship between asset float (tradeable shares) and speculative bubbles. Investors with heterogeneous beliefs and short-sales constraints trade a stock with limited float because of insider lockups. A bubble arises as price overweighs optimists’ beliefs and investors anticipate the option to resell to those with even higher valuations. The bubble’s size depends on float as inve...

Asset Bubbles and Monetary Policy

We provide a model of rational bubbles in a DNK framework. Entrepreneurs are heterogeneous in investment efficiency and face credit constraints. They can trade bubble assets to raise their net worth. The bubble assets command a liquidity premium and can have a positive value. Monetary policy affects the conditions for the existence of a bubble, its steady-state size, and its dynamics including ...

Price Bubbles Spillover among Asset Markets: Evidence from Iran

T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...

Asset-price Bubbles and Monetary Policy

for helpful discussions and comments, and to Pam Dillon and Paula Drew for assistance in preparing this document. The views expressed are those of the authors and should not be attributed to the Reserve Bank of Australia.