Herding through booms and busts

• 成果类型: Article
• 署名作者: Schaal, Edouard; Taschereau-Dumouchel, Mathieu
• 署名单位: ICREA; Pompeu Fabra University; Centre de Recerca en Economia Internacional (CREI); Cornell University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105669
• 发表日期: 2023
• 关键词: Endogenous business cycles; incomplete information; herding

摘要

This paper explores whether rational herding can generate endogenous aggregate fluctuations. We embed a tractable model of rational herding into a business cycle framework. In the model, technological inno-vations arrive with unknown qualities, and agents have dispersed information about how productive the technology really is. Rational investors decide whether to invest based on their private information and the investment behavior of others. Herd-driven boom-bust cycles arise endogenously in this environment when the technology is unproductive but investors' initial information is overly optimistic. Their overoptimism leads to high investment rates, which investors mistakenly attribute to good fundamentals, leading to a self -reinforcing pattern of higher optimism and higher investment until the economy reaches a peak, followed by a crash when agents ultimately realize their mistake. We calibrate the model to the U.S. economy and show that it can broadly explain boom-and-bust cycles like the dot-com bubble of the 1990s. (c) 2023 The Author(s). Published by Elsevier Inc. This is an open access article under the CC BY-NC-ND license (http://creativecommons .org /licenses /by -nc -nd /4 .0/).