A leverage-based model of speculative bubbles

A leverage-based model of speculative bubbles by Gadi Barlevy Download PDF EPUB FB2

This paper developed a model of credit-driven bubbles to explore what empirical patterns may be indicators that assets are in fact overvalued. It suggests the indicators often used to identify bubbles, i.e.

rapid price appreciation and speculative trading, are more likely to occur when assets are by: A Leverage-based Model of Speculative Bubbles Gadi Barlevy Economic Research Department Federal Reserve Bank of Chicago South LaSalle Chicago, IL e-mail: [email protected] July 8, Abstract This paper examines whether theoretical models of bubbles.

Gadi Barlevy. Abstract. This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g.

restricting the use of certain types of loan contracts, imposing A leverage-based model of speculative bubbles book restrictions, and changing inter-bank by: A Leverage-based Model of Speculative Bubbles ∗ Gadi Barlevy Economic Research Department Federal Reserve Bank of Chicago South LaSalle Chicago, IL e-mail: [email protected] January 3, Abstract This paper develops A leverage-based model of speculative bubbles book equilibrium model of speculative bubbles that can be used to explore the role.

This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g.

restricting the use of certain types of loan contracts, imposing down- payment restrictions, and. A Leverage-based Model of Speculative Bubbles (Revised) ∗ Gadi Barlevy Economic Research Department Federal Reserve Bank of Chicago South LaSalle Chicago, IL e-mail: [email protected] Decem Abstract This paper examines whether theoretical models of bubbles based on the notion that the price of.

A Leverage-based Model of Speculative Bubbles ∗ Gadi Barlevy Economic A leverage-based model of speculative bubbles book Department Federal Reserve Bank of Chicago South LaSalle Chicago, IL e-mail: [email protected] June 4, Abstract This paper provides a framework for exploring the role of various policies in giving rise to or ruling out the possibility of speculative bubbles.

This paper develops a model of credit-driven bubbles and asks when it gives rise to the patterns that policymakers often use to gauge the presence of a bubble.

The model suggests patterns like Author: Gadi Barlevy. A Leverage-based Model of Speculative Bubbles∗ Gadi Barlevy Economic Research Department Federal Reserve Bank of Chicago South LaSalle Chicago, IL e-mail: [email protected] Aug Abstract This paper explores whether various credit market interventions can give rise to or rule out the possibility of speculative bubbles.

This paper develops A leverage-based model of speculative bubbles book model of credit-driven bubbles and asks when it gives rise to the patterns that policymakers often use to gauge the presence of a bubble.

The model suggests patterns like rapid price appreciation and speculative trade do not always occur whenever a bubble is present, but they do occur when assets are especially overvalued. This A leverage-based model of speculative bubbles book develops an equilibrium model of speculative bubbles that can be used to explore the role of various policies in either giving rise to or eliminating the possibility of asset bubbles, e.g.

restricting the use of certain types of loan contracts, imposing down- payment restrictions, and Author: Gadi Barlevy. A Leverage-based Model of Speculative Bubbles. By Gadi Barlevy. Abstract. This paper explores whether various credit market interventions can give rise to or rule out the possibility of speculative bubbles.

As in previous work by Allen and Gorton () and Allen and Gale (), a bubble can occur in my model because traders A leverage-based model of speculative bubbles book assets Author: Gadi Barlevy. A Leverage-based Model of Speculative Bubbles.

By Gadi Barlevy. Abstract. This paper provides a framework for exploring the role of various policies in giving rise to or ruling out the possibility of speculative bubbles.

As in previous work by Allen and Gorton () and Allen and Gale (), a bubble can occur in my model because traders are Author: Gadi Barlevy.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper provides a framework for exploring the role of various policies in giving rise to or ruling out the possibility of speculative bubbles.

As in previous work by Allen and Gorton () and Allen and Gale (), a bubble can occur in my model because traders are assumed to purchase assets with borrowed funds.

A leverage-based model of speculative bubbles. By Gadi Barlevy. Download PDF ( KB) Abstract. This paper examines whether theoretical models of bubbles based on the notion that the price of an asset can deviate from its fundamental value are useful for understanding phenomena that are often described as bubbles, and which are distinguished Author: Gadi Barlevy.

CiteSeerX - Document Details (Isaac Councill, Lee Giles, Pradeep Teregowda): This paper explores whether various credit market interventions can give rise to or rule out the possibility of speculative bubbles.

As in previous work by Allen and Gorton () and Allen and Gale (), a bubble can occur in my model because traders purchase assets with funds borrowed from creditors who cannot. Speculative Bubble: A speculative bubble is a spike in asset values within a particular industry, commodity, or asset class.

A speculative bubble is usually caused by exaggerated expectations of Author: Will Kenton. The terms "asset price bubble," "financial bubble" or "speculative bubble" are interchangeable and are often shortened simply to "bubble." His book, Stabilizing an Five Steps of a Bubble.

an irrational speculative bubble model according to some relevant theoretical hypothesis, which can measure the scale of stock market bubbles precisely.

Moreover, we also explore the plausible rang of speculative bubbles on the basis of the irrational bubble model. Finally, we can conclude from the results of corresponding simulations. Because speculative demand, rather than intrinsic worth, fuels the inflated prices, the bubble eventually but inevitably pops, and massive sell-offs cause prices to Author: Troy Segal.

The book provides a new theoretical explanation of bubbles and crashes to help answer questions relating to how asset bubbles come about, why they persist, and the causes of the subsequent crashes.

In this innovative volume, Taisei Kaizoji proposes a stock market model in which noise traders and fundamentalists who follow the traditional asset Author: Taisei Kaizoji. A Robust Model of Bubbles With Multidimensional Uncertainty. The book begins by demonstrating how to model asymmetric information and higher-order knowledge.

A Leverage-Based Model of Author: Antonio Doblas-Madrid. Financial Modeling An introduction to financial modelling and financial options Conall O’Sullivan This is called a speculative bubble, We need a model which takes into account almost continuous realisations of the stock Size: 1MB.

Overconfidence and Speculative Bubbles Jose´ A. Scheinkman and Wei Xiong Princeton University Motivated by the behavior of asset prices, trading volume, and price volatility during episodes of asset price bubbles, we present a contin-uous-time equilibrium model in which overconfidence generates dis-agreements among agents regarding asset.

An economic bubble or asset bubble (sometimes also referred to as a speculative bubble, a market bubble, a price bubble, a financial bubble, a speculative mania, or a balloon) is a situation in which asset prices appear to be based on implausible or inconsistent views about the future.

It could also be described as trade in an asset at a price or price range that strongly exceeds the asset's. As a strategist and a student of value creation, the framework that Bubbles and Crashes: The Boom and Bust of Technological Innovation provides can help identify if an industrial bubble is potentially forming.

If you're interested why Bitcoin and many ICOs have left so many bereft now you'll know why/5(4). In model simulations, speculative overreaction gives rise to intermittent asset price bubbles that coincide with positive innovations in technology, investment and consumption booms, and faster trend growth, reminiscent of the U.S.

economy during the late s and late s. A Leverage-Based Model of Speculative Bubbles, Working Paper –01, Federal Reserve Bank of Chicago. Google Scholar. Barlevy, G. Rethinking Theoretical Models of Bubbles. Basic Books.

Google Scholar. Roubini, N. Why Central Banks Should Burst Bubbles. Vogel H.L. () Money and Credit Features. In: Financial Market Author: Harold L. Vogel. We present a model in which an asset bubble can persist despite the presence of rational arbitrageurs.

The resilience of the bubble stems from the inability of arbitrageurs to temporarily coordinate their selling strategies. A leverage-based model of speculative bubbles, Journal of Economic Theory,() Book Reviews, Journal of Cited by: Speculative Bubble A situation in which prices for securities, especially stocks, rise far above their actual value.

This trend continues until investors realize just how far prices have risen, usually, but not always, resulting in a sharp decline. Speculative bubbles usually occur when investors, for any number of reasons, believe that demand for the.

Speculative bubbles are pervasive but no-one has considered stock-level bubbles. • Our asset pricing model allows for speculative bubbles to affect stock returns. • Stocks incorporating larger bubbles yield higher returns.

• The bubble deviation at the stock level is a separate, priced source of risk. •Cited by: 8. Motivated by the behavior of asset prices, trading volume, and price volatility during episodes of asset price bubbles, we present a continuous‐time equilibrium model in which overconfidence generates disagreements among agents regarding asset fundamentals.

With short‐sale constraints, an asset buyer acquires an option to sell the asset to other agents when those agents have more Cited by:   We present a robust model of speculative bubbles by introducing loss-averse reference-dependent preferences by Koszegi and Rabin () into the framework of Allen, Morris and Postlewaite (), where in equilibrium, asymmetrically-informed rational investors buy overvalued assets, hoping to sell them to less informed agents before the crash.

In this book José A. Scheinkman offers new insight into the mystery of bubbles. Noting some general characteristics of bubbles—such as the rise in trading volume and the coincidence between increases in supply and bubble implosions—Scheinkman offers a model, based on differences in beliefs among investors, that explains these observations.

The most common definition of a speculative bubble is that an asset experiences trade in high volumes at prices that are considerably deviated from intrinsic or fundamental values (Smith et al., ).

Speculative bubbles are not a new phenomenon, but can in fact be traced back many centuries. While every bubble doesn’t follow this path perfectly, it does capture many of the similarities across various bubbles over the past few centuries. It really does a great job at showing how knowledge of a bubble spreads across different kinds of investors over time from a few pioneers, to smart money, to general investors and then finally to.

The most common definition of a speculative or market bubble is when a broad-based, surging euphoria or wave of optimism carries asset prices well beyond supportable value. The three types of speculative bubbles are most clearly laid out in Charles Kindleberger’s Manias, Panics, and Crashes (, ), with the first explanation of the most widespread third type based on work of Hyman Minsky (, ), whose discussion more generally underpinned Kindleberger’s discussion of the nature and pattern of how.

constructing an in–nite-horizon heterogeneous agent general equilibrium model with speculative bubbles. We characterize conditions under which storable goods, regardless of their intrinsic values, can carry bubbles and agents are willing to invest in such bubbles despite their File Size: KB.

After popping, speculative bubbles tend to retrace the majority of their upward moves, so an eventual price target of $ or even lower should not be discounted (if this is indeed the end).Author: Jesse Colombo.

* Pdf Lagos, New York University and NBER, and Shengxing Zhang, London School of Economics, "Monetary Exchange in Over-the-Counter Markets: A Theory of Speculative Bubbles, the Fed Model, and Self-Fulfilling Liquidity Crises".Econometric Tests of Asset Price Bubbles: Taking Stock Refet S.

Gurkaynak NOTE: Staff working papers in the Finance and Economics Discussion Series (FEDS) are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate.The papers in this book are grouped into three ebook the first on price bubbles is ebook financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.

Robert Flood and Peter Garber confess to a "fixation on understanding extreme events" such as speculative bubbles, currency.