RIEBセミナー（基盤研究（S）「包括的な金融・財政政策のリスクマネジメント：理論・実証・シミュレーション」共催）

日時 2018年10月22日（月）15:30 ～ 17:00
会場 神戸大学経済経営研究所　調査室（兼松記念館1階）
対象 教員，院生，および同等の知識をお持ちの方
使用言語 日本語

15：30 ～ 17:00

報告者 陣内　了
所属 一橋大学経済研究所
論題 Recurrent Bubbles and Economic Growth
概要 We propose a model that generates permanent effects on economic growth following a recession (super hysteresis). Recurrent bubbles are introduced to an otherwise standard infinite-horizon business-cycle model with liquidity scarcity and endogenous productivity. In our setup, bubbles promote growth because they provide liquidity to constrained investors. Bubbles are sustained only when the financial system is under-developed. If the financial development is in an intermediate stage, recurrent bubbles can be harmful in the sense that they decrease the unconditional mean and increase the unconditional volatility of the growth rate relative to the fundamental equilibrium in the same economy.
Through the lens of an estimated version of our model fitted to U.S. data, we argue that 1) there is evidence of recurrent bubbles; 2) the Great Moderation results from the collapse of the monetary bubble in the late 1970s; and 3) the burst of the housing bubble is partially responsible for the post-Great Recession dismal recovery of the U.S. economy.