International transmission of bubble crashes in a two-country overlapping generations model

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• 作者：Lise Clain-Chamosset-Yvrard^a ; ^{lise.clain-chamosset-yvrard@univ-amu.fr} ; Takashi Kamihigashi^b ; ^{tkamihig@rieb.kobe-u.ac.jp}
• 关键词：International transmission ; Stochastic bubbles ; Stationary sunspot equilibria ; Financial integration
• 刊名：Journal of Mathematical Economics
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：68
• 期：Complete
• 页码：115-126
• 全文大小：801 K
• 卷排序：68

文摘

We study the international transmission of bubble crashes by analyzing stationary sunspot equilibria in a two-country overlapping generations exchange economy with stochastic bubbles. We consider two cases of sunspot shocks. In the first case, we assume that only the foreign country receives a sunspot shock, while in the second, we assume that both countries independently receive sunspot shocks. In the first case, a bubble crash in the foreign country is always accompanied by a bubble crash in the home country. In the second case, a bubble crash in the foreign country can have a positive or negative effect on the home bubble. We also show that there exists a unique locally isolated stationary sunspot equilibrium, and that it is locally unstable.