EconPapers    
Economics at your fingertips  
 

Asset Bubbles and Foreign Interest Rate Shocks"

Jianjun Miao (), Pengfei Wang () and Jing Zhou
Additional contact information
Jing Zhou: Fudan University

Review of Economic Dynamics

Abstract: 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. (Copyright: Elsevier)

Keywords: Asset bubbles; Business cycles; Small open economy; Sudden stop; Liquidity; DSGE; Bayesian estimation (search for similar items in EconPapers)
JEL-codes: E32 E44 F41 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://dx.doi.org/10.1016/j.red.2021.03.005
Access to full texts is restricted to ScienceDirect subscribers and institutional members. See http://www.sciencedirect.com/ for details.

Related works:
Software Item: Code and data files for "Asset Bubbles and Foreign Interest Rate Shocks" (2021) Downloads
Working Paper: Asset Bubbles and Foreign Interest Rate Shocks (2017) Downloads
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:red:issued:20-278

Ordering information: This journal article can be ordered from
https://www.economic ... ription-information/

DOI: 10.1016/j.red.2021.03.005

Access Statistics for this article

Review of Economic Dynamics is currently edited by Loukas Karabarbounis

More articles in Review of Economic Dynamics from Elsevier for the Society for Economic Dynamics Contact information at EDIRC.
Bibliographic data for series maintained by Christian Zimmermann ().

 
Page updated 2021-06-13
Handle: RePEc:red:issued:20-278