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...

the presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. in this paper, first, the formation of bubbles is tested using the new unit root test known as phillips test (generalized sup adf test) for 50 companies in the tehran stock exchange...

We simulate a multiagent market with production, consumption, and exchange mediated by a sealed-bid double auction. Marked price bubbles and subsequent crashes occur when valuebased (fundamentals-driven) and trend-based traders are both present, and the market equilibrium price is ramped up exogenously. Similarly, negative price bubbles and recoveries occur when the equilibrium price is ramped ...

Stock price bubbles are often on productive assets and occur in a sector of the economy. In addition, their occurrence is often accompanied by credit booms. Incorporating these features, we provide a two-sector endogenous growth model with credit-driven stock price bubbles. Bubbles have a credit easing effect in that they relax collateral constraints and improve investment efficiency. Sectoral ...

One of the most important issues facing central banks is whether they should respond to potential asset-price bubbles. Because asset prices are a central element in the transmission mechanisms of monetary policy, the issue of how monetary policy might respond to asset-price movements is not whether it should respond at all but whether it should respond over and above the response called for in ...

T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...

At the current juncture, the focus has shifted from equity price to housing price bubbles, given striking recent price increases in this asset class in a number of industrial countries (IMF (2003)). However, large price increases – which will be referred to as booms – are only a sufficient but not necessary conditions for bubbles. Historically, many episodes of large asset price increases did n...