Liquidity and asset market cycles

Jong Kook Shin

doi:10.1016/j.econlet.2023.111119

Liquidity and asset market cycles

Jong Kook Shin

Research output: Contribution to journal › Article › peer-review

Abstract

We develop a theory of boom-bust cycle of rational bubbles capable of replicating some of the stylized patterns of the bubbly episodes which we document. Instead of relying on random investor sentiments to explain the cycle, we use the interplay of liquidity supply and economic fundamentals. Related policy implications are discussed.

Original language	English
Article number	111119
Journal	Economics Letters
Volume	226
DOIs	https://doi.org/10.1016/j.econlet.2023.111119
Publication status	Published - 2023 May
Externally published	Yes

Bibliographical note

Publisher Copyright:
© 2023 Elsevier B.V.

Keywords

Business cycle
Rational bubbles
Regime switch

ASJC Scopus subject areas

Finance
Economics and Econometrics

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10.1016/j.econlet.2023.111119

Cite this

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title = "Liquidity and asset market cycles",

abstract = "We develop a theory of boom-bust cycle of rational bubbles capable of replicating some of the stylized patterns of the bubbly episodes which we document. Instead of relying on random investor sentiments to explain the cycle, we use the interplay of liquidity supply and economic fundamentals. Related policy implications are discussed.",

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AB - We develop a theory of boom-bust cycle of rational bubbles capable of replicating some of the stylized patterns of the bubbly episodes which we document. Instead of relying on random investor sentiments to explain the cycle, we use the interplay of liquidity supply and economic fundamentals. Related policy implications are discussed.

KW - Business cycle

KW - Rational bubbles

KW - Regime switch

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DO - 10.1016/j.econlet.2023.111119

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SN - 0165-1765

VL - 226

JO - Economics Letters

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Liquidity and asset market cycles

Abstract

Bibliographical note

Keywords

ASJC Scopus subject areas

Access to Document

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Cite this