Relative wealth concerns and financial bubbles
Relative wealth concerns and financial bubbles
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DOI：
10.1093/rfs/hhm032
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发表时间：
2008-01-01
影响因子：
8.2
通讯作者：
Kremer, Ilan
中科院分区：
文献类型：
--
作者：
DeMarzo, Peter M.;Kaniel, Ron;Kremer, Ilan
我们提出了一个理性的一般均衡模型，强调相对财富的关注可以在解释金融泡沫中发挥作用。我们考虑一个有限时域的世代重叠模型，其中代理人只关心他们的消费。虽然视野是有限的，但对未来投资机会的竞争使代理公用事业依赖于其群体的财富，并引起相对财富的担忧。代理人蜂拥进入高风险证券，压低了他们的预期回报。即使泡沫很可能破裂并导致巨额损失，但经纪人对相对财富的担忧使他们不敢与大众进行交易。
We present a rational general equilibrium model that highlights the fact that relative wealth concerns can play a role in explaining financial bubbles. We consider a finite-horizon overlapping generations model in which agents care only about their consumption. Though the horizon is finite, competition over future investment opportunities makes agents utilities dependent on the wealth of their cohort and induces relative wealth concerns. Agents herd into risky securities and drive down their expected return. Even though the bubble is likely to burst and lead to a substantial loss, agents relative wealth concerns make them afraid to trade against the crowd.