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

Gerhard Sorger

doi:10.1007/s10100-019-00650-z

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

Gerhard Sorger

Department of Economics

Publications: Contribution to journal › Article › Peer Reviewed

Abstract

We consider the model by Miao and Wang (Am Econ Rev 108:2590-2628, 2018), in which endogenous collateral constraints may generate stock price bubbles. Whereas Miao and Wang (2018) 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.

Original language	English
Pages (from-to)	521-537
Number of pages	17
Journal	Central European Journal of Operations Research
Volume	28
Issue number	2
DOIs	https://doi.org/10.1007/s10100-019-00650-z
Publication status	Published - Jun 2020

Austrian Fields of Science 2012

502047 Economic theory

Keywords

ASSET BUBBLES
Local stability analysis
Risk aversion
Stock price bubbles

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10.1007/s10100-019-00650-zLicence: CC BY 4.0

https://phaidra.univie.ac.at/o:1074751Licence: CC BY 4.0

Cite this

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abstract = "We consider the model by Miao and Wang (Am Econ Rev 108:2590-2628, 2018), in which endogenous collateral constraints may generate stock price bubbles. Whereas Miao and Wang (2018) 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.",

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

Abstract

Austrian Fields of Science 2012

Keywords

Access to Document

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