Slow boom, sudden crash

• 成果类型: Article
• 署名作者: Veldkamp, LL
• 署名单位: New York University
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2003.12.008
• 发表日期: 2005
• 页码: 230-257
• 关键词: information dynamics; asymmetry; skewness; crashes

摘要

Many asset markets exhibit slow booms and sudden crashes. This pattern is explained by an endogenous flow of information. In the model, agents undertake more economic activity in good times than in bad. Economic activity generates public information about the state of the economy. If the economic state changes when times are good and information is abundant, asset prices adjust quickly and a sudden crash occurs. When times are bad, scarce information and high uncertainty slow agents' reactions as the economy improves; a gradual boom ensues. Data from U.S. and emerging credit markets support the theory. (c) 2004 Elsevier Inc. All rights reserved.