| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP13866
|
| 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
|
| URL | https://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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