Asset Bubbles and Credit Constraints

• 成果类型: Article
• 署名作者: Miao, Jianjun; Wang, Pengfei
• 署名单位: Boston University; Central University of Finance & Economics; Hong Kong University of Science & Technology
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20160782
• 发表日期: 2018
• 页码: 2590-2628
• 关键词: STOCK-MARKET BUBBLES; overlapping generations; Speculative bubbles; endogenous growth; financial crises; monetary-policy; PRICE BUBBLES; debt; MODEL; money

摘要

We provide a theory of rational stock price bubbles in production economies with infinitely-lived agents. Finns meet stochastic investment opportunities and face endogenous credit constraints. They are not fully committed to repaying debt. Credit constraints are derived from incentive constraints in optimal contracts which ensure default never occurs in equilibrium. Stock price bubbles can emerge through a positive feedback loop mechanism and cannot be ruled out by transversality conditions. These bubbles command a liquidity premium and raise investment by raising the debt limit. Their collapse leads to a recession and a stock market crash.