A Bayesian dynamic stochastic general equilibrium model of stock market bubbles and business cycles

• 成果类型: Article
• 署名作者: Miao, Jianjun; Wang, Pengfei; Xu, Zhiwei
• 署名单位: Boston University; Jinan University; Zhejiang University; Hong Kong University of Science & Technology; Shanghai Jiao Tong University
• 刊物名称: QUANTITATIVE ECONOMICS
• ISSN/ISSBN: 1759-7323
• DOI: 10.3982/QE505
• 发表日期: 2015
• 页码: 599-635
• 关键词: Stock market bubbles; Bayesian estimation; DSGE; credit constraints; business cycles; sentiment shock

摘要

We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock that drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints. This shock explains most of the stock market fluctuations and sizable fractions of the variations in real quantities. It generates the comovement between stock prices and the real economy, and is the dominant force behind the internet bubbles and the Great Recession.