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Noise Bubbles
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DOI：10.1111/ecoj.12386.png)
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Abstract
En 中文
We introduce imperfect information in stock prices determination. Agents, whose expectations are not assumed to be rational, receive a noisy signal about the structural shock driving future dividend variations. Equilibrium stock prices are decomposed into a fundamental component and a transitory noise bubble' which can be responsible for boom and bust episodes unrelated to economic fundamentals. We propose a non-standard VAR procedure to estimate the effects of noise shocks as well as bubble episodes. Noise explains a large fraction of US stock prices. In particular the dot-com bubble is almost entirely explained by noise.
Keywords:
STOCK-PRICES
BUSINESS CYCLES
STRUCTURAL VARS
INFORMATION
NEWS
FLUCTUATIONS
INNOVATIONS
EXPLORATION
CONFIDENCE
DIVIDENDS
Journal
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3.6
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5.5K
Citations:
1.6W
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