G2TT
来源类型Discussion paper
规范类型论文
来源IDDP13866
DP13866 Stock Price Cycles and Business Cycles
Klaus Adam; Sebastian Merkel
发表日期2019-07-14
出版年2019
语种英语
摘要We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boom-bust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a `financial accelerator', despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital.
主题Financial Economics ; Monetary Economics and Fluctuations
URLhttps://cepr.org/publications/dp13866
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/542742
推荐引用方式
GB/T 7714
Klaus Adam,Sebastian Merkel. DP13866 Stock Price Cycles and Business Cycles. 2019.
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