کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5084833 1477921 2014 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Follow the money: The monetary roots of bubbles and crashes
ترجمه فارسی عنوان
پول دنبال کنید: ریشه های پولی حباب ها و سقوط
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی
A reduced form model for the join dynamics of liquidity and asset prices is proposed. The self-reinforcing feedback between credit creation and the market value of the financial assets employed as collateral in the bank loans (the so called financial accelerator) is modeled by a coupled non-linear stochastic process. We show that such non-linear interaction produces explosive dynamics in the financial variables announcing a regime change in finite time in the form of a market crash which can also be modeled by the same coupled non-linear stochastic process with inverted signs. Casting the financial accelerator dynamics into a highly stylized macroeconomic model, we study its macro-dynamics implications for real economy and for monetary policy interventions. Finally, by exploiting the implications of the proposed model on the dynamics of financial asset returns, we introduce an extension of the GARCH process, that can provide an early warning identification of bubbles.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: International Review of Financial Analysis - Volume 32, March 2014, Pages 47-59
نویسندگان
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