News Shocks and Asset Price Volatility in General Equilibrium

SSRN Electronic Journal ◽

10.2139/ssrn.1909373 ◽

2011 ◽

Author(s):

Akito Matsumoto ◽

Pietro Cova ◽

Massimiliano Pisani ◽

Alessandro Rebucci

Keyword(s):

General Equilibrium ◽

Asset Price ◽

Price Volatility ◽

News Shocks

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News shocks and asset price volatility in general equilibrium

Journal of Economic Dynamics and Control ◽

10.1016/j.jedc.2011.08.004 ◽

2011 ◽

Vol 35 (12) ◽

pp. 2132-2149 ◽

Cited By ~ 5

Author(s):

Akito Matsumoto ◽

Pietro Cova ◽

Massimiliano Pisani ◽

Alessandro Rebucci

Keyword(s):

General Equilibrium ◽

Asset Price ◽

Price Volatility ◽

News Shocks

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Asset price volatility in a nonconvex general equilibrium model

Economic Theory ◽

10.1007/s001990050239 ◽

1998 ◽

Vol 12 (3) ◽

pp. 649-665 ◽

Cited By ~ 5

Author(s):

Costas Azariadis ◽

Shankha Chakraborty

Keyword(s):

General Equilibrium ◽

Equilibrium Model ◽

Asset Price ◽

Price Volatility ◽

General Equilibrium Model

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New Shocks and Asset Price Volatility in General Equilibrium

IMF Working Papers ◽

10.5089/9781455261390.001 ◽

2011 ◽

Vol 11 (110) ◽

pp. 1

Author(s):

Alessandro Rebucci ◽

Akito Matsumoto ◽

Pietro Cova ◽

Massimiliano Pisani ◽

◽

...

Keyword(s):

General Equilibrium ◽

Asset Price ◽

Price Volatility

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ENDOGENOUS CREDIT AND INVESTMENT CYCLES WITH ASSET PRICE VOLATILITY

Macroeconomic Dynamics ◽

10.1017/s1365100516000912 ◽

2017 ◽

Vol 22 (7) ◽

pp. 1859-1874 ◽

Cited By ~ 1

Author(s):

Francesco Carli ◽

Leonor Modesto

Keyword(s):

General Equilibrium ◽

Equilibrium Model ◽

Asset Price ◽

Price Volatility ◽

Credit Market ◽

Macroeconomic Fluctuations ◽

Limited Commitment ◽

Driving Factor ◽

Bond Price ◽

Credit Market Frictions

It is commonly accepted that credit market frictions are an important source of macroeconomic fluctuations. But what is the link between the two? And what is the driving factor of asset prices volatility? To answer these questions, we have introduced a specific credit friction, limited commitment, in a general equilibrium model with production and investment in productive capital, where agents can trade bonds. The model always displays a stationary equilibrium where bonds are traded. More importantly, limited commitment may generate stochastic endogenous fluctuations driven by self-fulfilling volatile expectations (sunspots), yielding credit and investment cycles and bond price volatility consistent with data.

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