Replication data for: Speculative Bubbles and Financial Crises
Principal Investigator(s): View help for Principal Investigator(s) Pengfei Wang; Yi Wen
Version: View help for Version V1
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Project Citation:
Wang, Pengfei, and Wen, Yi. Replication data for: Speculative Bubbles and Financial Crises. Nashville, TN: American Economic Association [publisher], 2012. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E114248V1
Project Description
Summary:
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Are asset prices unduly volatile and often detached from their fundamentals?
Does the bursting of financial bubbles depress the real economy? This paper addresses these issues by constructing a DSGE model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles, and agents are willing to invest in such bubbles despite their positive probability of bursting. The results show that systemic risk, commonly perceived changes in the bubble's probability of bursting, can generate boom-bust cycles with hump-shaped output dynamics and produce asset price movements many times more volatile than
the economy's fundamentals. (JEL E13, E23, E32, E44, G01, G12).
Scope of Project
JEL Classification:
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E13 General Aggregative Models: Neoclassical
E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
E13 General Aggregative Models: Neoclassical
E23 Macroeconomics: Production
E32 Business Fluctuations; Cycles
E44 Financial Markets and the Macroeconomy
G01 Financial Crises
G12 Asset Pricing; Trading Volume; Bond Interest Rates
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