Asset Price Bubbles with Low Interest Rates: Not All Bubbles are Likely to Emerge

Jacopo Bonchi, Francesco Simone Lucidi
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引用次数: 1

Abstract

Leveraged asset price bubbles, i.e., boom-bust phases in asset prices accompanied by credit overhangs, are more harmful than unleveraged ones, in terms of financial and macroeconomic stability. If bubbles are not all alike, neither are all bubbles likely? As bubbles are difficult to detect in real-time data, early researches focused on the macroeconomic conditions exacerbating the bubbles' nature. We specifically look at a condition that could become more persistent in the aftermath of COVID-19 pandemic: low risk-free interest rates. In an OLG model, we show that the existence condition for a leveraged bubble is more easily met than that of an unleveraged bubble with low interest rates, and thus leveraged bubbly episodes are relatively more likely to emerge than unleveraged ones. Then, we show that this result holds empirically for post-World War II bubbles in advanced economies.
低利率下的资产价格泡沫:并非所有泡沫都可能出现
就金融和宏观经济稳定而言,杠杆资产价格泡沫,即伴随着信贷过剩的资产价格繁荣-萧条阶段,比非杠杆资产价格泡沫更有害。如果泡沫并非都一样,那么也不可能出现所有泡沫?由于泡沫很难在实时数据中被发现,早期的研究集中在宏观经济条件上,这加剧了泡沫的性质。我们特别关注的是在2019冠状病毒病大流行之后可能变得更加持久的一种情况:低无风险利率。在OLG模型中,我们证明了杠杆泡沫的存在条件比低利率下的非杠杆泡沫更容易满足,因此杠杆泡沫时期相对于非杠杆泡沫时期更容易出现。然后,我们证明了这一结果在经验上适用于二战后发达经济体的泡沫。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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