Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei - In: Quantitative economics : QE ; journal of the … 6 (2015) 3, pp. 599-635
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 …