A leverage-based model of speculative bubbles

DOI10.1016/J.JET.2014.07.012zbMATH Open1309.91100OpenAlexW2096877346MaRDI QIDQ406414FDOQ406414

Gadi Barlevy

Publication date: 8 September 2014

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://www.chicagofed.org/digital_assets/publications/working_papers/2008/wp2008_01.pdf

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zbMATH Keywords

risk-shiftingbubblesspeculationSpence-Miyazaki-Wilson contracts

Mathematics Subject Classification ID

Macroeconomic theory (monetary models, models of taxation) (91B64) Credit risk (91G40) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Cites Work

• Optimal contracts and competitive markets with costly state verification
• Bubbles and constraints on debt accumulation
• A model of insurance markets with incomplete information
• Assessing Dynamic Efficiency: Theory and Evidence
• Churning Bubbles
• Rational Asset Pricing Bubbles
• Bubbly Liquidity
• Bubbles and Crashes
• Asset Bubbles and Overlapping Generations
• Incentive-Compatible Debt Contracts: The One-Period Problem
• Money in Search Equilibrium, in Competitive Equilibrium, and in Competitive Search Equilibrium
• Finite bubbles with short sale constraints and asymmetric information
• A robust model of bubbles with multidimensional uncertainty
• Speculative Investor Behavior in a Stock Market with Heterogeneous Expectations
• Simple Finite Horizon Bubbles Robust to Higher Order Knowledge
• A GAME THEORETIC FOUNDATION OF COMPETITIVE EQUILIBRIA WITH ADVERSE SELECTION
• The permanent income hypothesis and short-run price stability
• A note on uniqueness in game-theoretic foundations of the reactive equilibrium
• Government guarantees and self-fulfilling speculative attacks

Cited In (7)

• Deposit insurance and the coexistence of commercial and shadow banks
• The simplest rational greater-fool bubble model
• Asset pledgeability and endogenously leveraged bubbles
• A finite model of riding bubbles
• Herding through booms and busts
• A THREE‐STATE RATIONAL GREATER‐FOOL BUBBLE MODEL WITH INTERTEMPORAL CONSUMPTION SMOOTHING
• Bubbly bailout

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