All that glitters: A theory of multiple bubbles with implications for cryptocurrencies

• 成果类型: Article
• 署名作者: Han, Jungsuk; Wang, Yenan
• 署名单位: Seoul National University (SNU); University of Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/j.jmoneco.2025.103764
• 发表日期: 2025
• 关键词: Rational bubbles; Bubble bursting; diversification; Crypto ETF; Nonstationary equilibrium

摘要

We analyze a model of heterogeneous rational bubbles that compete and complement each other. When some bubbles burst, surviving ones gain value, offsetting losses from collapsed bubbles. This compensation effect, combined with diversification, enhances welfare. A portfolio of fragile bubbles may rival a single, stable bubble. The stationary equilibrium imposes a tight upper bound on bubble size, considering covariance structures, price fluctuations, and the emergence of new bubbles. These results have important policy implications, particularly for managing crypto ETFs and issuing CBDCs, highlighting the potential benefits of a diversified approach to fragile financial systems.