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Asset bubbles and foreign interest rate shocks
Review of Economic Dynamics ( IF 1.712 ) Pub Date : 2021-04-19 , DOI: 10.1016/j.red.2021.03.005
Jianjun Miao , Pengfei Wang , Jing Zhou

We provide an estimated DSGE model of a small open economy with both domestic and international financial market frictions. Firms face credit constraints and trade an intrinsically useless asset. Low foreign interest rates are conducive to bubble formation. An asset bubble provides liquidity and relaxes credit constraints. It provides a powerful amplification and propagation mechanism. Our estimated model based on Bayesian methods explains the high volatilities of consumption and stock prices relative to output, countercyclical trade balance, and procyclical stock prices observed in the Mexican data over the period 1990Q1-2011Q4.



中文翻译:

资产泡沫和外国利率冲击

我们提供了一个具有国内和国际金融市场摩擦的小型开放经济体的估计 DSGE 模型。公司面临信贷约束,交易本质上无用的资产。国外低利率有利于泡沫的形成。资产泡沫提供流动性并放松信贷约束。它提供了强大的放大和传播机制。我们基于贝叶斯方法的估计模型解释了 1990 年第一季度至 2011 年第四季度期间墨西哥数据中​​观察到的消费和股票价格相对于产出、逆周期贸易平衡和顺周期股票价格的高波动性。

更新日期:2021-04-19
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