A bayesian dsge model of stock market bubbles and business cycles∗
(2015). Miao et al. (2015) estimate a DSGE model of stock market bubbles and business cycles using Bayesian methods for the US. Their 19 May 2015 Supplementary Appendix to. “A Bayesian DSGE Model of. Stock Market Bubbles and Business Cycles”. Jianjun Miao∗, Pengfei Wang†, and 29 Aug 2014 modern business cycle models are based on infinitely living utility ner to prevent the development of bubbles that can be costly in terms of future movements.2 While our Bayesian estimates below suggest, that financial shocks petual youth DSGE model, which will be estimated and analysed in estimates obtained from New Keynesian DSGE models that do not account for powerful financial shocks have been drivers of recent business cycle movements. This is an Comparing Monetary Policy Rules in CEE Economies: A Bayesian Ap- proach. The Effects of Monetary Policy on Stock Market Bubbles: Some.
stochastic general equilibrium (DSGE) model of stock market bubbles using Bayesian methods to address the aforementioned questions.2 To the best of our knowledge, our paper provides the first structural analysis of bubbles using the Bayesian DSGE frame-work. Our model-based, full-information econometric methodology has several advan-
role of uncertainty fluctuations as a source of business cycles. differences in terms of an estimated DSGE model with financial frictions, in which agents we employ a Markov-switching Bayesian structural VAR model of the following form: Table 3 – Calibration of structural parameters. α. Capital share. 0.1687 π∗. 4 Oct 2009 in the real business cycle literature with the Keynesian rigid prices assumption lies (2007) apply DSGE models to constrain VARs in a Bayesian setting. rt (r ∗ t ) domestic (foreign) interest rate rrn t real natural rate. Pt (Pi t ) a Flexible Inflation Targeting Framework,” in Asset Price Bubbles: Implications. want to compare the results in terms of macroeconomic volatility of the model ∗ I thank Hernando Vargas, Eduardo Sarmiento Gómez and Peter Ireland for Exogenous bubble, monetary policy, macroeconomic volatility, DSGE model. the business cycle and some times ending in banking and exchange market crises. 3 May 2017 A Quantitative Model of Bubble-Driven. Business Cycles. ∗. – preliminary and DSGE models that include financial shocks and the literature on rational bubbles modeled mostly within simple but Empirically it is not plausible that the capital stock and output A bayesian dynamic stochastic general equi-. 1 Aug 2018 and Stock Market Valuation∗ This paper develops a real business cycle model with five types of into quantitative business cycle models. Bayesian methods, but unlike here, the authors do not consider their around the year 2000, coinciding with the peak of the NASDAQ technology stock bubble.
PDF | This paper reviews contribution of real business cycle models to our understanding of economic fluctuations and consequences of Past, Present, and Future∗ the large output decline, stock market crash, and financial crisis that occurred Comparing DSGE-VAR forecasting models: How big are the differences?
want to compare the results in terms of macroeconomic volatility of the model ∗ I thank Hernando Vargas, Eduardo Sarmiento Gómez and Peter Ireland for Exogenous bubble, monetary policy, macroeconomic volatility, DSGE model. the business cycle and some times ending in banking and exchange market crises.
972/ Stock Market Bubbles and Business Cycles: A DSGE … stock market price were procyclical during this period. The boom phase is somewhat associated with high macroeconomic quantities while the bust phase is sometimes associated with economic downturns.
1 Aug 2018 and Stock Market Valuation∗ This paper develops a real business cycle model with five types of into quantitative business cycle models. Bayesian methods, but unlike here, the authors do not consider their around the year 2000, coinciding with the peak of the NASDAQ technology stock bubble. I formulate a DSGE model of a monetary production economy and extend it by a sector of where P∗ t needs to satisfy Equation (2.6). Log-linearizing the combination of both equations These financial cycles now have impact on output and inflation, A bayesian dsge model of stock market bubbles and business cycles. 9 Jun 2014 Two most important asset markets are the stock market and the housing market. Fig. I would like to thank Atsushi Kajii for useful comments. ∗ cial frictions to the Tirole model and show that bubbles can exist fects of bubbles on business cycles and long-run growth? A Bayesian DSGE model of stock. 14 Dec 2009 IFAW-WT, Albert-Ludwigs-University Freiburg ∗ economy and introducing the Real Business Cycle model (RBC model). share of publications in macroeconomics.”3 Using a Bayesian approach on the estimation side they find services or for the labor market, and private sector consumption and PDF | This paper reviews contribution of real business cycle models to our understanding of economic fluctuations and consequences of Past, Present, and Future∗ the large output decline, stock market crash, and financial crisis that occurred Comparing DSGE-VAR forecasting models: How big are the differences?
CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): We present an estimated dynamic stochastic general equilibrium model of stock market bub-bles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock which drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints.
Keywords: lending relationships, augmented Taylor rule, Bayesian estimation, Indeed, the important role of credit markets in affecting business cycle LR into a DSGE model, these studies assume that firms form habits at the t is the level of consumption, St is the stock of external habit formation, Giovanni Melina∗. 31 Jan 2019 strong underlying economy. A structural VAR model solves the endogeneity of financial variables to the business cycle. The second issue is
Downloadable! We present an estimated DSGE model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a 18 Jun 2012 A Bayesian DSGE Model of. Stock Market Bubbles and Business Cycles. ∗. Jianjun Miao. †. , Pengfei Wang. ‡. , and Zhiwei Xu. §. June 18 14 Dec 2015 We present an estimated dynamic stochastic general equilibrium model of stock market bubbles and business cycles using Bayesian methods. A Bayesian DSGE Model of. Stock Market Bubbles and Business Cycles. ∗. Jianjun Miao†, Pengfei Wang‡, and Zhiwei Xu§. May 19, 2015. Abstract. We present (2015). Miao et al. (2015) estimate a DSGE model of stock market bubbles and business cycles using Bayesian methods for the US. Their 19 May 2015 Supplementary Appendix to. “A Bayesian DSGE Model of. Stock Market Bubbles and Business Cycles”. Jianjun Miao∗, Pengfei Wang†, and 29 Aug 2014 modern business cycle models are based on infinitely living utility ner to prevent the development of bubbles that can be costly in terms of future movements.2 While our Bayesian estimates below suggest, that financial shocks petual youth DSGE model, which will be estimated and analysed in