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.
- Sprache
-
Englisch
- Erschienen in
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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
- Klassifikation
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Wirtschaft
- Thema
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Stock market bubbles
Bayesian estimation
DSGE
credit constraints
business cycles
sentiment shock
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Miao, Jianjun
Wang, Pengfei
Xu, Zhiwei
- Ereignis
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Veröffentlichung
- (wer)
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The Econometric Society
- (wo)
-
New Haven, CT
- (wann)
-
2015
- DOI
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doi:10.3982/QE505
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:44 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Miao, Jianjun
- Wang, Pengfei
- Xu, Zhiwei
- The Econometric Society
Entstanden
- 2015
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