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Macroeconomic and stock market interactions with endogenous aggregate sentiment dynamics

机译:宏观经济和股市相互作用与内生总体情绪动态

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This paper studies the implications of heterogeneous capital gain expectations on output and asset prices. We consider a disequilibrium macroeconomic model where agents' expectations on future capital gains affect aggregate demand. Agents' beliefs take two forms fundamentalist and chartist - and the relative weight of the two types of agents is endogenously determined. We show that there are two sources of instability arising from the interaction of the financial with the real part of the economy, and from the heterogeneous opinion dynamics. Two main conclusions are derived. On the one hand, perhaps surprisingly, the non-linearity embedded in the opinion dynamics far from the steady state can play a stabilizing role by preventing the economy from moving towards an explosive path. On the other hand, however, real-financial interactions and sentiment dynamics do amplify exogenous shocks and tend to generate persistent fluctuations and the associated welfare losses. We consider alternative policies to mitigate these effects. (C) 2017 Elsevier B.V. All rights reserved.
机译:本文研究了异质资本收益预期对产出和资产价格的影响。我们考虑一种不平衡的宏观经济模型,代理商对未来资本收益的期望会影响总需求。代理人的信念采取原教旨主义者和宪章派两种形式-两种代理人的相对权重是内生确定的。我们表明,由于金融与经济的实际部分之间的相互作用以及异质的意见动态,有两种导致不稳定的原因。得出两个主要结论。一方面,也许令人惊讶的是,嵌入在远离稳定状态的意见动态中的非线性可以通过阻止经济走向爆炸性路径而发挥稳定作用。但是,另一方面,实际金融互动和情绪动态确实会放大外来冲击,并倾向于产生持续的波动和相关的福利损失。我们考虑采取替代政策来减轻这些影响。 (C)2017 Elsevier B.V.保留所有权利。

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