| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9532 |
| DP9532 Noise Bubbles | |
| Marco Lippi; Mario Forni; Luca Sala; Luca Gambetti | |
| 发表日期 | 2013-06-30 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We introduce noisy information into a standard present value stock price model. Agents receive a noisy signal about the structural shock driving future dividend variations. The resulting equilibrium stock price includes a transitory component ? the "noise bubble" ? which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non-standard VAR procedure to estimate the structural shock and the "noise" shock, their impulse response functions and the bubble component of stock prices. We apply such procedure to US data and find that noise explains a large fraction of stock price volatility. In particular the dot-com bubble is entirely explained by noise. On the contrary the stock price boom peaking in 2007 is not a bubble, whereas the following stock market crisis is largely due to negative noise shocks. |
| 主题 | International Macroeconomics |
| 关键词 | Noise shocks Rational bubbles Structural vars |
| URL | https://cepr.org/publications/dp9532 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538368 |
| 推荐引用方式 GB/T 7714 | Marco Lippi,Mario Forni,Luca Sala,et al. DP9532 Noise Bubbles. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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