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Theory of Asset Price Bubbles and Its Effects on Macro-Economy
Theory of Asset Price Bubbles and Its Effects on Macro-Economy
상세정보
- 자료유형
- 학위논문 서양
- 최종처리일시
- 20260202103103
- ISBN
- 9798315705666
- DDC
- 519
- 서명/저자
- Theory of Asset Price Bubbles and Its Effects on Macro-Economy
- 발행사항
- [Sl] : The University of North Carolina at Chapel Hill, 2025
- 발행사항
- Ann Arbor : ProQuest Dissertations & Theses, 2025
- 형태사항
- 174 p
- 주기사항
- Source: Dissertations Abstracts International, Volume: 86-11, Section: B.
- 주기사항
- Advisor: Rabinovich, Stan.
- 학위논문주기
- Thesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2025.
- 초록/해제
- 요약This dissertation investigates how asset price bubbles arise in the modern macroeconomic theory.The first chapter is related to the existence condition of asset price bubbles and its dynamic stability. Asset price bubbles have been widely considered as an economically fragile phenomenon. Specifically, in a wide variety of models with asset price bubbles, there exists a continuum of bubbly equilibrium that converges to a bubble-less steady state, and there is a unique bubbly equilibrium converging to a bubbly steady state. This paper shows that if the agents' risk aversion is sufficiently low, a standard model with asset price bubbles generates a bubbly steady state where all bubbly equilibria converge to the bubbly steady state. In other words, the bubbly steady state is dynamically stable. The stable bubble arises when asset price bubbles create strong crowding-in effects through the net worth effect, while the crowding-out effects by bubbles through the equilibrium interest rate rise are relatively limited.The second chapter investigates a mechanism in which a burst of asset bubbles induces financial panic and bank run. In an economy with heterogeneous investment opportunities and financial constraints, a bubble asset, defined as an asset with intrinsically no fundamental value, can have a positive price in the equilibrium, because the positive price is supported by the liquidity premium. In such a circumstance, bubble asset prices strongly correlate with the banking sector's liquidity premium. The price correlation helps provide ample liquidity during periods of financial distress. Consequently, all depositors anticipate no bank run phenomenon even under financial distress. However, once bubbles burst, the role of liquidity provision suddenly disappears. As a result, depositors anticipate a severe liquidity shortage in the banking sector. Combined with excessive leverage in the bubble economy, the bank's liquidation value at a fire sale price could be below the debt amount, prompting depositors to choose the bank's liquidation.
- 일반주제명
- Applied mathematics
- 일반주제명
- Finance
- 키워드
- Bank run
- 기타저자
- The University of North Carolina at Chapel Hill Economics
- 기본자료저록
- Dissertations Abstracts International. 86-11B.
- 전자적 위치 및 접속
- 로그인 후 원문을 볼 수 있습니다.
MARC
008260126s2025 us c eng d■001000017356930
■00520260202103103
■006m o d
■007cr#unu||||||||
■020 ▼a9798315705666
■035 ▼a(MiAaPQ)AAI31934899
■040 ▼aMiAaPQ▼cMiAaPQ
■0820 ▼a519
■1001 ▼aTakahashi, Hiroyuki.
■24510▼aTheory of Asset Price Bubbles and Its Effects on Macro-Economy
■260 ▼a[Sl]▼bThe University of North Carolina at Chapel Hill▼c2025
■260 1▼aAnn Arbor▼bProQuest Dissertations & Theses▼c2025
■300 ▼a174 p
■500 ▼aSource: Dissertations Abstracts International, Volume: 86-11, Section: B.
■500 ▼aAdvisor: Rabinovich, Stan.
■5021 ▼aThesis (Ph.D.)--The University of North Carolina at Chapel Hill, 2025.
■520 ▼aThis dissertation investigates how asset price bubbles arise in the modern macroeconomic theory.The first chapter is related to the existence condition of asset price bubbles and its dynamic stability. Asset price bubbles have been widely considered as an economically fragile phenomenon. Specifically, in a wide variety of models with asset price bubbles, there exists a continuum of bubbly equilibrium that converges to a bubble-less steady state, and there is a unique bubbly equilibrium converging to a bubbly steady state. This paper shows that if the agents' risk aversion is sufficiently low, a standard model with asset price bubbles generates a bubbly steady state where all bubbly equilibria converge to the bubbly steady state. In other words, the bubbly steady state is dynamically stable. The stable bubble arises when asset price bubbles create strong crowding-in effects through the net worth effect, while the crowding-out effects by bubbles through the equilibrium interest rate rise are relatively limited.The second chapter investigates a mechanism in which a burst of asset bubbles induces financial panic and bank run. In an economy with heterogeneous investment opportunities and financial constraints, a bubble asset, defined as an asset with intrinsically no fundamental value, can have a positive price in the equilibrium, because the positive price is supported by the liquidity premium. In such a circumstance, bubble asset prices strongly correlate with the banking sector's liquidity premium. The price correlation helps provide ample liquidity during periods of financial distress. Consequently, all depositors anticipate no bank run phenomenon even under financial distress. However, once bubbles burst, the role of liquidity provision suddenly disappears. As a result, depositors anticipate a severe liquidity shortage in the banking sector. Combined with excessive leverage in the bubble economy, the bank's liquidation value at a fire sale price could be below the debt amount, prompting depositors to choose the bank's liquidation.
■590 ▼aSchool code: 0153.
■650 4▼aApplied mathematics
■650 4▼aFinance
■653 ▼aAsset price bubbles
■653 ▼aBank run
■653 ▼aEndogenous growth
■653 ▼aMacroeconomic theory
■653 ▼aBubbly equilibrium
■690 ▼a0511
■690 ▼a0501
■690 ▼a0508
■690 ▼a0364
■71020▼aThe University of North Carolina at Chapel Hill▼bEconomics.
■7730 ▼tDissertations Abstracts International▼g86-11B.
■790 ▼a0153
■791 ▼aPh.D.
■792 ▼a2025
■793 ▼aEnglish
■85640▼uhttp://www.riss.kr/pdu/ddodLink.do?id=T17356930▼nKERIS▼z이 자료의 원문은 한국교육학술정보원에서 제공합니다.
