Recurrent Bubbles and Economic Growth
Recurrent Bubbles and Economic Growth
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DOI：
10.2139/ssrn.3350097
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发表时间：
2020-05
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影响因子：
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通讯作者：
Pablo A. Guerrón-Quintana;T. Hirano;Ryo Jinnai
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文献类型：
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作者：
Pablo A. Guerrón-Quintana;T. Hirano;Ryo Jinnai
一些金融危机之前是泡沫破裂，之后是长期的经济衰退，大衰退就是最近的一个例子。为了解释数据中的这些特征，我们建立了一个新的模型，模型中包含内生增长、无限寿命的家庭和金融摩擦。泡沫一旦成为现实，就会促进经济增长，因为它们为受到限制的投资者提供了流动性。另一方面，对未来泡沫的预期会挤出投资，从而降低经济增长。在这些相互竞争的影响下，周期性泡沫（尤其是高频泡沫）对经济增长和福利的总体影响取决于经济基本面。在金融市场相对发达（欠发达）的经济体中，与泡沫从未实现的情况相比，经常性泡沫降低（提高）平均经济增长和福利。我们利用这些见解将我们的模型映射到1984 - 2017年期间的美国数据。实证研究的主要发现是：1）有证据表明泡沫反复出现; 2）资产价格泡沫在大衰退前几年推动了增长; 3）泡沫破裂是大衰退后复苏不温不火的部分原因。
Some financial crises are preceded by the collapse of bubbles and followed by a long-lasting economic slump, the Great Recession being a recent example. To account for these features in the data, we develop a novel model of recurrent bubbles with endogenous growth, infinitely lived households, and financial frictions. Bubbles, once realized, promote economic growth because they provide liquidity to constrained investors. On the other hand, expectations about future bubbles crowd out investment, thereby reducing economic growth. With these competing e¤ects, the overall impact of recurrent bubbles, especially high-frequency bubbles, on economic growth and welfare depends on economic fundamentals. In economies with relatively developed (under-developed) financial markets, recurrent bubbles reduce (raise) the average economic growth and welfare compared to those situations where bubbles never materialize. We exploit these insights to map our model to the U.S. data for the period 1984 - 2017. The main findings from the empirical exercise are: 1) there is evidence of recurrent bubbles; 2) the asset price bubble fueled growth in the pre-Great Recession years; and 3) the bursting of the bubble is partially responsible for the post-Great Recession lukewarm recovery.