A Model of Cycles and Bubbles under Heterogeneous Beliefs in Financial Markets
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009.
"The Aftermath of Financial Crises,"
American Economic Review, American Economic Association, vol. 99(2), pages 466-472, May.
- Reinhart, Carmen & Rogoff, Kenneth, 2008. "Las secuelas de las crisis financieras [The aftermath of financial crisis]," MPRA Paper 13695, University Library of Munich, Germany.
- Reinhart, Carmen M. & Rogoff, Kenneth S., 2009. "The Aftermath of Financial Crises," Scholarly Articles 11129155, Harvard University Department of Economics.
- Rogoff, Kenneth & Reinhart, Carmen, 2009. "The Aftermath of Financial Crises," CEPR Discussion Papers 7209, C.E.P.R. Discussion Papers.
- Carmen M. Reinhart & Kenneth S. Rogoff, 2009. "The Aftermath of Financial Crises," NBER Working Papers 14656, National Bureau of Economic Research, Inc.
- Galati, Gabriele & Hindrayanto, Irma & Koopman, Siem Jan & Vlekke, Marente, 2016.
"Measuring financial cycles in a model-based analysis: Empirical evidence for the United States and the euro area,"
Economics Letters, Elsevier, vol. 145(C), pages 83-87.
- Gabriele Galati & Irma Hindrayanto & Siem Jan Koopman & Marente Vlekke, 2016. "Measuring Financial Cycles in a Model-Based Analysis: Empirical Evidence for the United States and the Euro Area," Tinbergen Institute Discussion Papers 16-029/III, Tinbergen Institute.
- Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
- Robert J. Shiller, 2014.
"Speculative Asset Prices,"
American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
- Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
- Ashiya, Masahiro & Doi, Takero, 2001.
"Herd behavior of Japanese economists,"
Journal of Economic Behavior & Organization, Elsevier, vol. 46(3), pages 343-346, November.
- Ashiya, M. & Doi, T., 1999. "Herd Behavior of Japanese Economists," ISER Discussion Paper 0479, Institute of Social and Economic Research, Osaka University.
- Kent Daniel & David Hirshleifer & Avanidhar Subrahmanyam, 1998. "Investor Psychology and Security Market Under- and Overreactions," Journal of Finance, American Finance Association, vol. 53(6), pages 1839-1885, December.
- Bikhchandani, Sushil & Hirshleifer, David & Welch, Ivo, 1992.
"A Theory of Fads, Fashion, Custom, and Cultural Change in Informational Cascades,"
Journal of Political Economy, University of Chicago Press, vol. 100(5), pages 992-1026, October.
- Sushil Bikhchandani & David Hirshleifer & Ivo Welch, 2010. "A theory of Fads, Fashion, Custom and cultural change as informational Cascades," Levine's Working Paper Archive 1193, David K. Levine.
- Jose A. Scheinkman & Wei Xiong, 2003. "Overconfidence and Speculative Bubbles," Journal of Political Economy, University of Chicago Press, vol. 111(6), pages 1183-1219, December.
- Froot, Kenneth A & Obstfeld, Maurice, 1991.
"Intrinsic Bubbles: The Case of Stock Prices,"
American Economic Review, American Economic Association, vol. 81(5), pages 1189-1214, December.
- Kenneth A. Froot & Maurice Obstfeld, 1989. "Intrinsic Bubbles: The Case of Stock Prices," NBER Working Papers 3091, National Bureau of Economic Research, Inc.
- Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
- J. Michael Harrison & David M. Kreps, 1978. "Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 92(2), pages 323-336.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- ÅžimÅŸek, Alp, 2021. "The Macroeconomics of Financial Speculation," CEPR Discussion Papers 15733, C.E.P.R. Discussion Papers.
- John Fender, 2020. "Beyond the efficient markets hypothesis: Towards a new paradigm," Bulletin of Economic Research, Wiley Blackwell, vol. 72(3), pages 333-351, July.
- Brunnermeier, Markus K. & Oehmke, Martin, 2013.
"Bubbles, Financial Crises, and Systemic Risk,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1221-1288,
Elsevier.
- Markus K. Brunnermeier & Martin Oehmke, 2012. "Bubbles, Financial Crises, and Systemic Risk," NBER Working Papers 18398, National Bureau of Economic Research, Inc.
- Ricardo J Caballero & Alp Simsek, 2020.
"A Risk-Centric Model of Demand Recessions and Speculation,"
The Quarterly Journal of Economics, Oxford University Press, vol. 135(3), pages 1493-1566.
- Ricardo J. Caballero & Alp Simsek, 2017. "A Risk-centric Model of Demand Recessions and Speculation," NBER Working Papers 23614, National Bureau of Economic Research, Inc.
- ÅžimÅŸek, Alp & Caballero, Ricardo, 2019. "A Risk-centric Model of Demand Recessions and Speculation," CEPR Discussion Papers 13815, C.E.P.R. Discussion Papers.
- Schaal, Edouard & Taschereau-Dumouchel, Mathieu, 2023.
"Herding through booms and busts,"
Journal of Economic Theory, Elsevier, vol. 210(C).
- Edouard Schaal & Mathieu Taschereau-Dumouchel, 2020. "Herding Through Booms and Busts," Working Papers 1166, Barcelona School of Economics.
- Schaal, Edouard & Taschereau-Dumouchel, Mathieu, 2021. "Herding Through Booms and Busts," CEPR Discussion Papers 16368, C.E.P.R. Discussion Papers.
- Bordalo, Pedro & Gennaioli, Nicola & Kwon, Spencer Yongwook & Shleifer, Andrei, 2021.
"Diagnostic bubbles,"
Journal of Financial Economics, Elsevier, vol. 141(3), pages 1060-1077.
- Pedro Bordalo & Nicola Gennaioli & Spencer Yongwook Kwon & Andrei Shleifer, 2018. "Diagnostic Bubbles," NBER Working Papers 25399, National Bureau of Economic Research, Inc.
- Khrennikova, Polina & Patra, Sudip, 2019. "Asset trading under non-classical ambiguity and heterogeneous beliefs," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 521(C), pages 562-577.
- Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
- Tolhurst, Tor N., 2018. "A Model-Free Bubble Detection Method: Application to the World Market for Superstar Wines," 2018 Annual Meeting, August 5-7, Washington, D.C. 274387, Agricultural and Applied Economics Association.
- Stijn Claessens & M. Ayhan Kose, 2013.
"Financial Crises: Explanations, Types and Implications,"
CAMA Working Papers
2013-06, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
- Claessens, Stijn & Kose, M. Ayhan, 2013. "Financial Crises: Explanations, Types, and Implications," CEPR Discussion Papers 9329, C.E.P.R. Discussion Papers.
- Mr. Stijn Claessens & Mr. Ayhan Kose, 2013. "Financial Crises Explanations, Types, and Implications," IMF Working Papers 2013/028, International Monetary Fund.
- Philippe Jehiel, 2022.
"Analogy-Based Expectation Equilibrium and Related Concepts:Theory, Applications, and Beyond,"
Working Papers
halshs-03735680, HAL.
- Philippe Jehiel, 2022. "Analogy-Based Expectation Equilibrium and Related Concepts:Theory, Applications, and Beyond," PSE Working Papers halshs-03735680, HAL.
- repec:awi:wpaper:0567 is not listed on IDEAS
- Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017.
"Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?,"
Pacific Economic Review, Wiley Blackwell, vol. 22(3), pages 276-292, August.
- Yongheng Deng & Eric Girardin & Roselyne Joyeux & Shuping Shi, 2017. "Did bubbles migrate from the stock to the housing market in China between 2005 and 2010?," Post-Print hal-01682809, HAL.
- John Conlon, 2005. "Should Central Banks Burst Bubbles?," Game Theory and Information 0508007, University Library of Munich, Germany.
- Ms. Anna Scherbina, 2013. "Asset Price Bubbles: A Selective Survey," IMF Working Papers 2013/045, International Monetary Fund.
- He, Xue-Zhong & Li, Kai & Santi, Caterina & Shi, Lei, 2022. "Social interaction, volatility clustering, and momentum," Journal of Economic Behavior & Organization, Elsevier, vol. 203(C), pages 125-149.
- Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2019.
"Financial Markets Where Traders Neglect the Informational Content of Prices,"
Journal of Finance, American Finance Association, vol. 74(1), pages 371-399, February.
- Erik Eyster & Matthew Rabin & Dimitri Vayanos, 2015. "Financial Markets where Traders Neglect the Informational Content of Prices," NBER Working Papers 21224, National Bureau of Economic Research, Inc.
- Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2017. "Financial markets where traders neglect the informational content of prices," LSE Research Online Documents on Economics 118956, London School of Economics and Political Science, LSE Library.
- Vayanos, Dimitri & Rabin, Matthew & Eyster, Erik, 2015. "Financial Markets where Traders Neglect the Informational Content of Prices," CEPR Discussion Papers 10629, C.E.P.R. Discussion Papers.
- Eyster, Erik & Rabin, Matthew & Vayanos, Dimitri, 2019. "Financial markets where traders neglect the informational content of prices," LSE Research Online Documents on Economics 87477, London School of Economics and Political Science, LSE Library.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014.
"Bubbles and Trading Frenzies : Evidence from the Art Market,"
Other publications TiSEM
bf0d8984-df7f-4f02-afc7-3, Tilburg University, School of Economics and Management.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Other publications TiSEM 386dd5e7-e672-4d9d-829c-6, Tilburg University, School of Economics and Management.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-046, Tilburg University, Tilburg Law and Economic Center.
- Penasse, J.N.G. & Renneboog, L.D.R., 2014. "Bubbles and Trading Frenzies : Evidence from the Art Market," Discussion Paper 2014-068, Tilburg University, Center for Economic Research.
- Barberis, Nicholas & Greenwood, Robin & Jin, Lawrence & Shleifer, Andrei, 2018.
"Extrapolation and bubbles,"
Journal of Financial Economics, Elsevier, vol. 129(2), pages 203-227.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2015. "Extrapolation and Bubbles," Working Paper 357401, Harvard University OpenScholar.
- Nicholas Barberis & Robin Greenwood & Lawrence Jin & Andrei Shleifer, 2016. "Extrapolation and Bubbles," NBER Working Papers 21944, National Bureau of Economic Research, Inc.
- Zhu, Zhaobo & Duan, Xinrui & Sun, Licheng & Tu, Jun, 2019. "Momentum and reversal: The role of short selling," Journal of Economic Dynamics and Control, Elsevier, vol. 104(C), pages 95-110.
- Doblas-Madrid, Antonio, 2016. "A finite model of riding bubbles," Journal of Mathematical Economics, Elsevier, vol. 65(C), pages 154-162.
More about this item
Keywords
Financial Markets; Heterogeneous Beliefs; Asset Pricing; Financial Bubbles; Monetary Policy;All these keywords.
JEL classification:
- E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
- E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
- D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2023-02-13 (Banking)
- NEP-FMK-2023-02-13 (Financial Markets)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pdn:ciepap:154. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: WP-WiWi-Info or the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/cipadde.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.