| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15733 |
| DP15733 The Macroeconomics of Financial Speculation | |
| Alp Simsek | |
| 发表日期 | 2021-01-28 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | I review the literature on financial speculation driven by belief disagreements from a macroeconomics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate overvaluation and speculative bubbles. Leverage can substantially inflate speculative bubbles and leverage limits depend on perceived downside risks. Shifts in beliefs about downside tail scenarios can explain the emergence and the collapse of leveraged speculative bubbles. Speculative bubbles are related to rational bubbles, but they match better the empirical evidence on the predictability of asset returns. Even without short-selling constraints, speculation induces procyclical asset valuation. When speculation affects the price of aggregate assets, it also influences macroeconomic outcomes such as aggregate consumption, investment, and output. Speculation in the boom years reduces asset prices, aggregate demand, and output in the subsequent recession. Macroprudential policies that restrict speculation in the boom can improve macroeconomic stability and social welfare. |
| 主题 | Financial Economics ; International Macroeconomics and Finance ; Monetary Economics and Fluctuations |
| 关键词 | Financial speculation Belief disagreements Short selling Leverage Speculative bubbles Rational bubbles Countercyclical risk premium Business cycles Aggregate demand recessions Macroprudential policy |
| URL | https://cepr.org/publications/dp15733-0 |
| 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/544738 |
| 推荐引用方式 GB/T 7714 | Alp Simsek. DP15733 The Macroeconomics of Financial Speculation. 2021. |
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