ASSET-MARKET SENTIMENTS AND BUSINESS CYCLE FLUCTUATIONS

• 成果类型: Article
• 署名作者: Liu, Xuewen; Wang, Pengfei; Xu, Sichuang
• 署名单位: University of Hong Kong; Peking University; The Chinese University of Hong Kong, Shenzhen; The Chinese University of Hong Kong, Shenzhen
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12700
• 发表日期: 2024
• 页码: 1795-1819
• 关键词: house prices; uncertainty shocks; financial-markets; prospect-theory; RISK; consumption; STOCK; MODEL; boom

摘要

We present a tractable model that accommodates asset-market sentiment in a standard Dynamic Stochastic General Equilibrium (DSGE) setting, allowing us to quantitatively evaluate sentiment-driven macroeconomic fluctuations. In our model, changes in households' perceived uncertainty about housing prices lead to self-fulfilling fluctuations in housing prices, which then impact investment and output through entrepreneurs' collateral constraints. Household sentiment shocks hence are transmitted and propagated to the macroeconomy, generating boom-bust cycles. Uncertainty, housing prices, and the real economy are linked. Quantitatively, the sentiment shock in the form of risk-panic is a crucial driver of business cycle fluctuations despite the presence of various competing shocks.