A leverage-based model of speculative bubbles

• 成果类型: Article
• 署名作者: Barlevy, Gadi
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Chicago
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2014.07.012
• 发表日期: 2014
• 页码: 459-505
• 关键词: Bubbles; speculation; Risk-shifting; Spence-Miyazaki-Wilson contracts

摘要

This paper develops a model of credit-driven bubbles and asks when it gives rise to the patterns that policymakers often use to gauge the presence of a bubble. The model suggests patterns like rapid price appreciation and speculative trade do not always occur whenever a bubble is present, but they do occur when assets are especially overvalued. The model also has implications as to what type of contracts will be used to finance the purchase of bubble assets. These predictions are consistent with observations on credit terms during historical episodes often suspected to be bubbles. (C) 2014 Elsevier Inc. All rights reserved.