Sunspot Fluctuations in Asset Prices and Business Cycles in Japan Over 1986–1999

Tomoyuki Nakajima

The Japanese Economic Review, 2003, vol. 54, issue 3, 253-274

Abstract: If individuals receive utility directly from the value of their wealth, equilibrium may be indeterminate so that sunspot equilibria may exist. In such an equilibrium, the price of an asset may fluctuate stochastically, as a result of spontaneous revisions of agents’ expectations. A neoclassical growth model with such a utility function is used to show that those fluctuations in asset prices can generate co‐movement among output, consumption and investment, even without assuming non‐convex technology. In particular, numerical results show that the model can replicate well the business cycles in Japan over the period 1986–1999.

Date: 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (8)

Downloads: (external link)
https://doi.org/10.1111/1468-5876.00258

Related works:
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:bla:jecrev:v:54:y:2003:i:3:p:253-274

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=1352-4739

Access Statistics for this article

The Japanese Economic Review is currently edited by Akira Okada

More articles in The Japanese Economic Review from Japanese Economic Association Contact information at EDIRC.
Bibliographic data for series maintained by Wiley Content Delivery ().