A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles
نویسندگان
چکیده
منابع مشابه
Stock Market Bubbles and Business Cycles: A DSGE Model for the Iranian Economy
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...
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متن کاملA Bayesian DSGE Model of Stock Market Bubbles and Business Cycles∗
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...
متن کاملSupplementary Appendix to “ A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles ”
∗Department of Economics, Boston University, 270 Bay State Road, Boston, MA 02215, USA, CEMA, Central University of Finance and Economics, and AFR, Zhejiang University, China. Email: [email protected]. Tel: (617) 353 6675. †Department of Economics, Hong Kong University of Science and Technology, Clear Water Bay, Hong Kong. Email: [email protected]. Tel: (+852) 2358 7612. ‡Antai College of Economics and ...
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ژورنال
عنوان ژورنال: Quantitative Economics
سال: 2015
ISSN: 1759-7323
DOI: 10.3982/qe505