International transmission of bubble crashes in a two-country overlapping generations model

Lise Clain-Chamosset-Yvrard and Takashi Kamihigashi

Post-Print from HAL

Abstract: We study the international transmission of bubble crashes by analyzing stationary sunspot equilibria in a two-country overlapping generations exchange economy with stochastic bubbles. We consider two cases of sunspot shocks. In the first case, we assume that only the foreign country receives a sunspot shock, while in the second, we assume that both countries independently receive sunspot shocks. In the first case, a bubble crash in the foreign country is always accompanied by a bubble crash in the home country. In the second case, a bubble crash in the foreign country can have a positive or negative effect on the home bubble. We also show that there exists a unique locally isolated stationary sunspot equilibrium, and that it is locally unstable.

Keywords: Financial integration; International transmission; Stationary sunspot equilibria; Stochastic bubbles (search for similar items in EconPapers)
Date: 2017-01
References: Add references at CitEc
Citations: View citations in EconPapers (5)

Published in Journal of Mathematical Economics, 2017, 68, pp.115-126. ⟨10.1016/j.jmateco.2016.01.004⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: International transmission of bubble crashes in a two-country overlapping generations model (2017)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01505766

DOI: 10.1016/j.jmateco.2016.01.004

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().