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|a We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boombust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a "financial accelerator", despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital.
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1757963624738979840 |
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Electronic Resources |
author |
Adam, Klaus, Merkel, Sebastian |
author_facet |
Adam, Klaus, Merkel, Sebastian |
author_role |
aut, aut |
author_sort |
Adam, Klaus 1971- |
author_variant |
k a ka, s m sm |
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lfer |
contents |
We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boombust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a "financial accelerator", despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital. |
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(DE-627)1677236663, (DE-599)KXP1677236663, (OCoLC)1128893424 |
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10.2866/883978 |
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Online, Free |
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Germany |
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Europäische Zentralbank: Working paper series |
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Frankfurt am Main, Germany, European Central Bank, [2019] |
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Frankfurt am Main, Germany: European Central Bank, [2019] |
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DE-D117, DE-105, LFER, DE-Ch1, DE-15, DE-14, DE-L242, DE-Zwi2 |
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Stock price cycles and business cycles |
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Börsenkurs, Konjunktur, Geldpolitische Transmission, USA |
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(108090442)no 2316 (September 2019) |
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Adam, Klaus 1971- VerfasserIn (DE-588)129194433 (DE-627)390701742 (DE-576)297534009 aut, Stock price cycles and business cycles Klaus Adam, Sebastian Merkel, Frankfurt am Main, Germany European Central Bank [2019], 1 Online-Ressource (circa 82 Seiten) Illustrationen, Text txt rdacontent, Computermedien c rdamedia, Online-Ressource cr rdacarrier, Working paper series / European Central Bank no 2316 (September 2019), We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boombust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a "financial accelerator", despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital., 1.1\x Börsenkurs (DE-627)091352576 (DE-2867)13715-1 stw, 1.2\x Konjunktur (DE-627)091371635 (DE-2867)10338-6 stw, 1.3\x Geldpolitische Transmission (DE-627)091395364 (DE-2867)19259-6 stw, 1.4\x USA (DE-627)091396867 (DE-2867)17829-1 stw, Merkel, Sebastian 1989- VerfasserIn (DE-588)1097275078 (DE-627)857098497 (DE-576)468254706 aut, Europäische Zentralbank Working paper series no 2316 (September 2019) 2316 (DE-627)372370322 (DE-576)108090442 (DE-600)2123559-4 1725-2806, https://doi.org/10.2866/883978 Resolving-System kostenfrei Volltext, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2316~4effe6153e.en.pdf Verlag kostenfrei Volltext, http://hdl.handle.net/10419/208350 Resolving-System kostenfrei, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2316~4effe6153e.en.pdf LFER, LFER 2019-10-07T00:00:00Z |
spellingShingle |
Adam, Klaus, Merkel, Sebastian, Stock price cycles and business cycles, Europäische Zentralbank, Working paper series, no 2316 (September 2019), We present a simple model that quantitatively replicates the behavior of stock prices and business cycles in the United States. The business cycle model is standard, except that it features extrapolative belief formation in the stock market, in line with the available survey evidence. Extrapolation amplifies the price effects of technology shocks and - in response to a series of positive technology surprises - gives rise to a large and persistent boom and bust cycle in stock prices. Boombust dynamics are more likely when the risk-free interest rate is low because low rates strengthen belief-based amplification. Stock price cycles transmit into the real economy by generating inefficient price signals for the desirability of new investment. The model thus features a "financial accelerator", despite the absence of financial frictions. The financial accelerator causes the economy to experience persistent periods of over- and under-accumulation of capital., Börsenkurs, Konjunktur, Geldpolitische Transmission, USA |
title |
Stock price cycles and business cycles |
title_auth |
Stock price cycles and business cycles |
title_full |
Stock price cycles and business cycles Klaus Adam, Sebastian Merkel |
title_fullStr |
Stock price cycles and business cycles Klaus Adam, Sebastian Merkel |
title_full_unstemmed |
Stock price cycles and business cycles Klaus Adam, Sebastian Merkel |
title_in_hierarchy |
no 2316 (September 2019). Stock price cycles and business cycles ([2019]) |
title_short |
Stock price cycles and business cycles |
title_sort |
stock price cycles and business cycles |
topic |
Börsenkurs, Konjunktur, Geldpolitische Transmission, USA |
topic_facet |
Börsenkurs, Konjunktur, Geldpolitische Transmission, USA |
url |
https://doi.org/10.2866/883978, https://www.ecb.europa.eu/pub/pdf/scpwps/ecb.wp2316~4effe6153e.en.pdf, http://hdl.handle.net/10419/208350 |