| 来源类型 | Discussion paper
|
| 规范类型 | 论文
|
| 来源ID | DP16290
|
| DP16290 In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis |
| Xavier Gabaix; Ralph Koijen
|
| 发表日期 | 2021-06-24
|
| 出版年 | 2021
|
| 语种 | 英语
|
| 摘要 | We develop a framework to theoretically and empirically analyze the fluctuations of the aggregate stock market. Households allocate capital to institutions, which are fairly constrained, for example operating with a mandate to maintain a fixed equity share or with moderate scope for variation in response to changing market conditions. As a result, the price elasticity of demand of the aggregate stock market is small, and flows in and out of the stock market have large impacts on prices.
Using the recent method of granular instrumental variables, we find that investing $1 in the stock market increases the market’s aggregate value by about $5. We also develop a new measure of capital flows into the market, consistent with our theory. We relate it to prices, macroeconomic variables, and survey expectations of returns.
We analyze how key parts of macro-finance change if markets are inelastic. We show how general equilibrium models and pricing kernels can be generalized to incorporate flows, which makes them amenable to use in more realistic macroeconomic models and to policy analysis.
Our framework allows us to give a dynamic economic structure to old and recent datasets comprising holdings and flows in various segments of the market. The mystery of apparently random movements of the stock market, hard to link to fundamentals, is replaced by the more manageable problem of understanding the determinants of flows in inelastic markets. We delineate a research agenda that can explore a number of questions raised by this analysis, and might lead to a more concrete understanding of the origins of financial fluctuations across markets. |
| 主题 | Financial Economics
; Macroeconomics and Growth
; Monetary Economics and Fluctuations
|
| 关键词 | Asset market fluctuations
Flows
Excess volatility
Behavioral finance
Behavioral macroeconomics
|
| URL | https://cepr.org/publications/dp16290
|
| 来源智库 | Centre for Economic Policy Research (United Kingdom)
|
| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/545255
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推荐引用方式
GB/T 7714 |
Xavier Gabaix,Ralph Koijen. DP16290 In Search of the Origins of Financial Fluctuations: The Inelastic Markets Hypothesis. 2021.
|
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