منابع مشابه
Speculative Bubbles and Financial Crisis
Why are asset prices so much more volatile and so often detached from their fundamental values? Why does the bursting of nancial bubbles depress the real economy? This paper addresses these questions by constructing an in nite-horizon heterogeneous agent general equilibrium model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic valu...
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Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9 time series that have been previously considered as bubbles ending in crashes. The model predicts the existence of two anomalous behaviors occurring simultaneou...
متن کاملFinancial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis
The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank interventions and government spending programs have been la...
متن کاملA Nonlinear Super-Exponential Rational Model of Speculative Financial Bubbles
Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic finite-time singularity formula transforms a Gaussian white noise into a rich time series possessing all the stylized facts of empirical prices, as well as acc...
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Motivated by the behavior of asset prices, trading volume and price volatility during historical episodes of asset price bubbles, we present a continuous time equilibrium model where overconfidence generates disagreements among agents regarding asset fundamentals. With short-sale constraints, an asset owner has an option to sell the asset to other overconfident agents when they have more optimi...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2009
ISSN: 1556-5068
DOI: 10.2139/ssrn.1420788