نتایج جستجو برای: Sentiment Shock
تعداد نتایج: 116510 فیلتر نتایج به سال:
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...
T his paper investigates the movement between stock market bubbles and fluctuations in aggregate variables within a DSGE model for the Iranian economy. We apply a new Keynesian monetary framework with nominal rigidity in wages and prices based on the study by Ikeda (2013), which is developed with appropriate framework for the Iranian economy. We consider central bank behavior differe...
We develop a general equilibrium dynamic stochastic business cycle model augmented with uncertain total factor productivity shocks and investment specific technology shocks. Agents only observe noisy signals of these shocks, such as realized GDP, and update their beliefs each period about the fundamentals of the economy. We interpret this inability to perfectly observe the fundamentals of the e...
due to the increasing growth of digital content on the internet and social media, sentiment analysis problem is one of the emerging fields. this problem deals with information extraction and knowledge discovery from textual data using natural language processing has attracted the attention of many researchers. construction of sentiment lexicon as a valuable language resource is a one of the imp...
With the explosive growth of social media such as Twitter, reviews on e-commerce website, and comments on news websites, individuals and organizations are increasingly using opinions in these media for their decision making. Sentiment analysis is one of the techniques used to analyze userschr('39') opinions in recent years. Persian language has specific features and thereby requires unique meth...
Due to the increasing growth of digital content on the internet and social media, sentiment analysis problem is one of the emerging fields. This problem deals with information extraction and knowledge discovery from textual data using natural language processing has attracted the attention of many researchers. Construction of sentiment lexicon as a valuable language resource is a one of the imp...
a r t i c l e i n f o The systematic and important role of investor sentiment has been supported by some recent empirical and theoretical literatures. In this paper, we present a dynamic asset pricing model with heterogeneous sentiments and we find that the equilibrium stock price is the wealth-share-weighted average of the stock prices that would prevail in an economy with one sentiment invest...
This study aims to evaluate the effect of sentiments on Iran's economy through a New Keynesian Dynamic Stochastic General Equilibrium model in a closed economy. In this study, the coefficients of the proposed model are calibrated and estimated using the quarterly data of Iran's economy from 2004 to 2015. It shows that in the presence of sentiment, how stochastic impulses affect the main macroec...
We present an estimated DSGE model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock which drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints. This shock explains more than 96 percent of the stoc...
This study was designed to investigate whether the response of investor sentiment shocks in real estate policies results differences stabilization effect on housing prices. For this purpose, Vector Autoregressive (VAR) model established by variables including prices, measured multi-dimensions and categorized types. Then impulse functions were also conducted. The suggested that tend be announced...
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