| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w28426 |
| 来源ID | Working Paper 28426 |
| The Macroeconomics of Financial Speculation | |
| Alp Simsek | |
| 发表日期 | 2021-02-08 |
| 出版年 | 2021 |
| 语种 | 英语 |
| 摘要 | I review the literature on financial speculation driven by belief disagreements from a macro- economics perspective. To highlight unifying themes, I develop a stylized macroeconomic model that embeds several mechanisms. With short-selling constraints, speculation can generate over- valuation 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 pro- cyclical 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 | Macroeconomics ; Macroeconomic Models ; Consumption and Investment ; Business Cycles ; Money and Interest Rates ; Monetary Policy ; Financial Economics ; Portfolio Selection and Asset Pricing ; Behavioral Finance |
| URL | https://www.nber.org/papers/w28426 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/586099 |
| 推荐引用方式 GB/T 7714 | Alp Simsek. The Macroeconomics of Financial Speculation. 2021. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w28426.pdf（502KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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