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On the dynamics of stock price bubbles: Comments on a model by Miao and Wang

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Abstract

We consider the model by Miao and Wang [3], in which the existence of endogenous collateral constraints allows for the existence of stock price bubbles. Whereas Miao and Wang [3] characterize the local dynamics around stationary equilibria only under the assumption of risk neutral households, we extend this characterization to the case of risk aversion.

Suggested Citation

  • Gerhard Sorger, 2018. "On the dynamics of stock price bubbles: Comments on a model by Miao and Wang," Vienna Economics Papers vie1803, University of Vienna, Department of Economics.
    • Handle: RePEc:vie:viennp:vie1803
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    1. repec:ejw:journl:v:22:y:2025:i:1:p:1-17 is not listed on IDEAS
    2. Tomohiro Hirano & Alexis Akira Toda, 2024. "Rational Bubbles: A Clarification," Papers 2407.14017, arXiv.org.
    3. Reinhard Neck, 2020. "CEJOR special issue: dynamic optimization in management and economics," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 28(2), pages 367-369, June.
    4. Gerhard Sorger, 2019. "Endogenous credit constraints: the role of informational non-uniqueness," Vienna Economics Papers 1903, University of Vienna, Department of Economics.
    5. Gerhard Sorger, 2019. "Endogenous credit constraints: the role of informational non-uniqueness," Vienna Economics Papers vie1903, University of Vienna, Department of Economics.

    More about this item

    JEL classification:

    • E22 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Investment; Capital; Intangible Capital; Capacity
    • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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