Artikel
A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
We present an estimated dynamic stochastic general equilibrium 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 that drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints. This shock explains most of the stock market fluctuations and sizable fractions of the variations in real quantities. It generates the comovement between stock prices and the real economy, and is the dominant force behind the internet bubbles and the Great Recession.
- Language
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Englisch
- Bibliographic citation
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Journal: Quantitative Economics ; ISSN: 1759-7331 ; Volume: 6 ; Year: 2015 ; Issue: 3 ; Pages: 599-635 ; New Haven, CT: The Econometric Society
- Classification
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Wirtschaft
- Subject
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Stock market bubbles
Bayesian estimation
DSGE
credit constraints
business cycles
sentiment shock
- Event
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Geistige Schöpfung
- (who)
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Miao, Jianjun
Wang, Pengfei
Xu, Zhiwei
- Event
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Veröffentlichung
- (who)
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The Econometric Society
- (where)
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New Haven, CT
- (when)
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2015
- DOI
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doi:10.3982/QE505
- Handle
- Last update
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10.03.2025, 11:44 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Artikel
Associated
- Miao, Jianjun
- Wang, Pengfei
- Xu, Zhiwei
- The Econometric Society
Time of origin
- 2015
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