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Monetary Policy and Bubbles in a New Keynesian Model with Overlapping Generations
Galí, Jordi - 2020
rational expectations equilibria with asset price bubbles. I study the conditions under which bubble-driven fluctuations may …
Persistent link: https://www.econbiz.de/10012479320
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The Macroeconomics of Financial Speculation
Simsek, Alp - National Bureau of Economic Research - 2021
-selling constraints, speculation can generate over- valuation and speculative bubbles. Leverage can substantially inflate speculative … bubbles and leverage limits depend on perceived downside risks. Shifts in beliefs about downside tail scenarios can explain … the emergence and the collapse of leveraged speculative bubbles. Speculative bubbles are related to rational bubbles, but …
Persistent link: https://www.econbiz.de/10012482642
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Land Speculation and Wobbly Dynamics with Endogenous Phase Transitions
Hirano, Tomohiro; Stiglitz, Joseph E. - National Bureau of Economic Research - 2022
This paper examines the global macro-dynamics of an OLG model with capital and land with rational expectations. Through the interactions between capital accumulation and land prices, the economy experiences phase transitions, endogenously moving back and forth from situations with unique and...
Persistent link: https://www.econbiz.de/10012938714
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Inexperienced Investors and Bubbles
Greenwood, Robin - 2008
a role in the formation of asset price bubbles. Using age as a proxy for managers' investment experience, we find that …
Persistent link: https://www.econbiz.de/10012464534
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Asset Pricing in the Quest for the New El Dorado
Andrei, Daniel - 2017
be used to predict bubbles ex ante …
Persistent link: https://www.econbiz.de/10012455226
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Forward Return Expectations
Gandhi, Mihir; Gormsen, Niels; Lazarus, Eben - National Bureau of Economic Research - 2023
We measure investors' short- and long-term stock-return expectations using both options and survey data. These expectations at different horizons reveal what investors think their own short-term expectations will be in the future, or forward return expectations. While contemporaneous short-term...
Persistent link: https://www.econbiz.de/10014372444
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High-Dimensional Factor Models and the Factor Zoo
Lettau, Martin - National Bureau of Economic Research - 2023
This paper proposes a new approach to the "factor zoo" conundrum. Instead of applying dimension-reduction methods to a large set of portfolios obtained from sorts on characteristics, I construct factors that summarize the information in characteristics across assets and then sort assets into...
Persistent link: https://www.econbiz.de/10014372475
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Junior Can't Borrow : A New Perspective on the Equity Premium Puzzle
Constantinidies, George M. - 1998
Ongoing questions on the historical mean and standard deviation of the return on equities and bonds and on the equilibrium demand for these securities are addressed in the context of a stationary, overlapping-generations economy in which consumers are subject to a borrowing constraint. The key...
Persistent link: https://www.econbiz.de/10012472194
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Volatility and Financial Intermediation
Aizenman, Joshua - 1997
Following the Tequila period, its after-effects in Latin America and recent events in South East Asia, the effect of volatility on emerging market economies has become an important topic of research with the domestic financial intermediation process being advanced as one of the most important...
Persistent link: https://www.econbiz.de/10012472495
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Taming the Skew : Higher-Order Moments in Modeling Asset Price Processes in Finance
Das, Sanjiv Ranjan - 1997
It is widely acknowledged that many financial markets exhibit a considerably greater degree of kurtosis (and sometimes also skewness) than is consistent with the Geometric Brownian Motion model of Black and Scholes (1973). Among the many alternative models that have been proposed in this...
Persistent link: https://www.econbiz.de/10012472845