Spotting sunspots: Some evidence in support of models with self-fulfilling prophecies

• 成果类型: Article
• 署名作者: Salyer, KD; Sheffrin, SM
• 署名单位: University of California System; University of California Davis
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(98)00037-3
• 发表日期: 1998
• 页码: 511-523
• 关键词: real business cycles; sunspots

摘要

This paper adds financial assests to Roger Farmer's business cycle model with increasing returns and self-fulfilling beliefs. By using information from the financial markets in conjunction with the structure of the model, we can uncover from financial data the belief shocks that drive the model. Specifically, we assume that belief shocks drive both economic fluctuations and asset returns. The financial market information allows us to identify these shocks. We use our methods to generate dynamic simulations of the model and show that it has incremental predictive power for key US time series. (C) 1998 Elsevier Science B.V. All rights reserved.