【主讲】许志伟 讲师 (上海交通大学安泰经济与管理学院)
【主题】A Bayesian DSGE Model of Stock Market Bubbles and Business Cycles
【时间】2013年12月9日 (周一) 15：30-17：00
【地点】上海财经大学经济学院楼801室
【语言】英文
【摘要】We present an estimated DSGE model of stock market bubbles and business cycles using Bayesian methods. Bubbles emerge through a positive feedback loop mechanism supported by self-fulfilling beliefs. We identify a sentiment shock which drives the movements of bubbles and is transmitted to the real economy through endogenous credit constraints. This shock explains more than 96 percent of the stock market volatility and about 25 to 45 percent of the variations in investment and output. It generates the comovements between stock prices and macroeconomic quantities and is the dominant force in driving the internet bubbles and the Great Recession.
