Noise Bubbles

• 成果类型: Article
• 署名作者: Forni, Mario; Gambetti, Luca; Lippi, Marco; Sala, Luca
• 署名单位: Autonomous University of Barcelona; Barcelona School of Economics; Bocconi University; Bocconi University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12386
• 发表日期: 2017
• 页码: 1940-1976
• 关键词: stock-prices; business cycles; structural VARs; INFORMATION; news; fluctuations; innovations; exploration; confidence; Dividends

摘要

We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory noise bubble' which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non-standard VAR procedure to estimate the effects of noise shocks as well as bubble episodes. Noise explains a large fraction of US stock prices. In particular the dot-com bubble is almost entirely explained by noise.