Financial bubbles and capital accumulation in altruistic economies

Bosi, Stefano; Ha‐Huy, Thai; Van, Cuong Le; Pham, Cao‐Tung; Pham, Ngoc‐Sang

doi:10.1016/j.jmateco.2018.01.003

Cited by 8 publications

(11 citation statements)

References 26 publications

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“…Notice that Bosi et al (2018) consider an OLG model with non-linear production functions, including CobbDouglas technology, and provide some examples of bubbles, where equilibrium indeterminacy may arise.…”

Section: Examples Of Land Bubblesmentioning

confidence: 99%

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Bosi

Van

Pham

2018

Journal of Mathematical Economics

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We build a dynamic general equilibrium model with heterogeneous producers and financial frictions (collateral constraints and incompleteness). First, we provide a characterization to check whether a sequence is an equilibrium or not. Second, we study the effects of financial imperfections on output and land prices. Third, we develop a theory of valuation of land by introducing the notion of endogenous land dividends (or yields) and different concepts of land-price bubbles. Some examples of bubbles are provided in economies with and without short-sales.

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Section: Examples Of Land Bubblesmentioning

confidence: 99%

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Bosi

Van

Pham

2018

Journal of Mathematical Economics

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“…To the best of our knowledge, only Bosi et al (2018) investigate the influence of altruism on the existence of a bubble. They consider a two-period OLG model with altruism and an asset bringing non-stationary positive dividends.…”

Section: Related Literaturementioning

confidence: 99%

Bubble on real estate: the role of altruism and fiscal policy

Clain-Chamosset-Yvrard

Seegmuller

2019

Studies in Nonlinear Dynamics &Amp; Econometrics

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In this paper, we are interested in the interplay between real estate bubble, aggregate capital accumulation and taxation in an overlapping generations economy with altruistic households. We consider a three-period overlapping generations model with three key elements: altruism, portfolio choice, and financial market imperfections. Households realise different investment decisions in terms of asset at different periods of life, face a binding borrowing constraint and leave bequests to their children. We show that altruism plays a key role on the existence of a productive real estate bubble, i.e. a bubble in real estate raising physical capital stock and aggregate output. The key mechanism relies on the fact that a real estate bubble raises income of retired households. Because of higher bequests, there children are able to invest more in productive capital. Introducing fiscal policy, we show that raising real estate taxation dampens capital accumulation. JEL classification: E22; E44; G11.

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“…They provided an empirical investigation of risk factors on bubble pricing. Bosi et al [19] proposed an article entitled "financial bubbles and capital accumulation in altruistic economies". They studied the global dynamics of capital stocks and assets' values.…”

Section: Introductionmentioning

confidence: 99%

Mathematical modeling for a new portfolio selection problem in bubble condition, using a new risk measure

2019

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A portfolio selection model is developed in this study, using a new risk measure. The proposed risk measure is based on the fundamental value of stocks. For this purpose, a mathematical model is developed and transformed into an integer linear programming. In order to analyze the model's efficiency, the actual data of the Tehran Stock Exchange market are used in 12 scenarios to solve the proposed model. In order to evaluate the scenarios, data mining approaches are employed. Data mining methods which are used in this paper include ANFIS, decision tree, random forest, FDA, and GEP. The best method for scenario evaluation is GEP based on numerical results. Hence, the market values are evaluated by this algorithm. Software packages like MATLAB, GEP xpero tools, and LINGO are used to solve the model. Different trends of market value and fundamental value volatility in the optimum stock portfolio are determined. It is possible to examine the optimum portfolio profitability in different scenarios. By using realworld data, trends are extracted and analyzed. Results show that the developed model can be effectively applied in bubble situations.

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Financial bubbles and capital accumulation in altruistic economies

Cited by 8 publications

References 26 publications

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Intertemporal equilibrium with heterogeneous agents, endogenous dividends and collateral constraints

Bubble on real estate: the role of altruism and fiscal policy

Mathematical modeling for a new portfolio selection problem in bubble condition, using a new risk measure

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