Asset bubbles and foreign interest rate shocks
| Autor: | Pengfei Wang, Jing Zhou, Jianjun Miao |
|---|---|
| Rok vydání: | 2022 |
| Předmět: |
Macroeconomics
Economics and Econometrics media_common.quotation_subject 05 social sciences Small open economy Financial market Balance of trade Monetary economics Market liquidity Interest rate 0502 economics and business Dynamic stochastic general equilibrium Economics Asset (economics) 050207 economics Economic bubble 050205 econometrics media_common |
| Zdroj: | Review of Economic Dynamics. 44:315-348 |
| ISSN: | 1094-2025 |
| DOI: | 10.1016/j.red.2021.03.005 |
| Popis: | We provide an estimated DSGE model of a small open economy with both domestic and international financial market frictions. Firms face credit constraints and trade an intrinsically useless asset. Low foreign interest rates are conducive to bubble formation. An asset bubble provides liquidity and relaxes credit constraints. It provides a powerful amplification and propagation mechanism. Our estimated model based on Bayesian methods explains the high volatilities of consumption and stock prices relative to output, countercyclical trade balance, and procyclical stock prices observed in the Mexican data over the period 1990Q1-2011Q4. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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