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Erscheinungsjahr: 
2011
Schriftenreihe/Nr.: 
Kiel Working Paper No. 1679
Verlag: 
Kiel Institute for the World Economy (IfW), Kiel
Zusammenfassung: 
This paper proposes and tests a theory of credit-driven asset bubbles which are neutral in their real effects. When a lender such as a government, central bank, or banking sector is willing to lend infinitely against collateral, explosive asset bubbles can form which exactly offset a bubble in household liabilities. Surprisingly, evidence from a VAR using long-run restrictions supports the idea that asset bubbles are approximately neutral in their real effects before 2007. The evidence becomes more ambiguous if one includes post-2007 data, hinting that the post-2007 degree of comovement between asset prices and output comes from an unusual regime.
Schlagwörter: 
Bubbles
fiscal theory of the price level
collateral constraints
neutrality
transversality conditions
JEL: 
G12
E44
E51
Dokumentart: 
Working Paper

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