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

Gerhard Sorger ()

Central European Journal of Operations Research, 2020, vol. 28, issue 2, No 9, 537 pages

Abstract: 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.

Keywords: Stock price bubbles; Risk aversion; Local stability analysis (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s10100-019-00650-z

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