Real indeterminacy and dynamics of asset price bubbles in general equilibrium
نویسندگان
چکیده
We show that both real indeterminacy and asset price bubble may appear in an infinite-horizon exchange economy with infinitely lived agents imperfect financial market. explain how the structure heterogeneity (in terms of preferences endowments) affect existence dynamics bubbles as well equilibrium indeterminacy. Moreover, this paper bridges literature on models overlapping generations models.
منابع مشابه
Do Asset Price Bubbles have Negative Real Effects?
In the recent recession and current economic recovery, policymakers have supported asset prices in the U.S. treasury and mortgage markets, expecting that improvement in the balance sheet of banks will lead to more commercial lending. In general, we document that increases in housing prices in a bank’s deposit base lead banks to decrease commercial lending. Further, we find that a one-standard d...
متن کاملSentiment Shock and Stock Price Bubbles in a Dynamic Stochastic General Equilibrium Model Framework: The Case of Iran
In this study, a model of Bayesian Dynamic Stochastic General Equilibrium (DSGE) from Real Business Cycles (RBC) approach with the aim of identifying the factors shaping price bubbles of Tehran Stock Exchange (TSE) was specified. The above-mentioned model was conducted in two scenarios. In the first scenario, the baseline model with sentiment shock was examined. In this model, stock price bubbl...
متن کاملAsset price volatility in a nonconvex general equilibrium model
Asset prices and returns are known to vary signi®cantly more than output or aggregate consumption growth, and an order of magnitude in excess of what is justi®ed by innovations to fundamentals. We study excess price volatility in a lifecycle economy with two assets (claims on capital and a public debt bubble), heterogeneous agents, and increasing returns to ®nancial intermediation. We show that...
متن کاملPrice 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...
متن کاملAsset-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.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Mathematical Economics
سال: 2022
ISSN: ['1873-1538', '0304-4068']
DOI: https://doi.org/10.1016/j.jmateco.2022.102651