Modeling speculative bubbles with diverse investor expectations

Modeling speculative bubbles with diverse investor expectations

We construct a model of asset market exuberance, collapse and recovery using subjective investor-based rational expectations about the impact of fundamentals on the market price. Investors are assumed to have heterogeneous market sentiments, allowing them to be exuberant, cautious, or fundamentalist...

Full description

Saved in:
Bibliographic Details
Main Author: PHILLIPS, Peter C. B.
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2016
Subjects:
Asset price bubble
Collapse
Contagion
Exuberance
Fundamentals
Heterogeneous agents
Smooth pasting
Econometrics
Finance
Online Access:https://ink.library.smu.edu.sg/soe_research/2147
https://ink.library.smu.edu.sg/context/soe_research/article/3147/viewcontent/1_s2.0_S1090944315301708_main.pdf
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/soe_research/2147
https://ink.library.smu.edu.sg/context/soe_research/article/3147/viewcontent/1_s2.0_S1090944315301708_main.pdf

Similar Items