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A Model Of Formation Of Asset Beubbles

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  • DEHNAD, KOSROW

    ()
    (COLUMBIA UNIVERSITY/SAMBA FINANCIAL GROUP)

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    Abstract

    A non-stationary time series is derived to describe the process of the formation of asset bubbles. The model is based on leverage and easy credit: the root cause of all financial bubbles. The discrete version of the model is used to present the intuition behind the approach and discuss its policy implications. A simple numerical example that models housing bubbles is used to illustrate the ease of implementing such models in practice using a spreadsheet. The final section presents the continuous time version of the model.

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    Bibliographic Info

    Article provided by Capco Institute in its journal Journal of Financial Transformation.

    Volume (Year): 29 (2010)
    Issue (Month): ()
    Pages: 95-98

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    Handle: RePEc:ris:jofitr:1423

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    Related research

    Keywords: Asset Bubbles; Housing Bubbles; Bursting of Asset Bubbles; Leverage; Credit; Cost of Fund; Volatility Non Stationary; Policy Implication; Investment; Return;

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