Sentiment Shock and Stock Price Bubbles in a Dynamic Stochastic General Equilibrium Model Framework: The Case of Iran

Asadi, Ehsan; Zare, Hashem; Ebrahimi, Mehrzad; Piraiee, Khosrow

doi:10.22099/ijes.2018.30437.1475

Document Type : Research Paper

Authors

¹ Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran.

² Department of Economics, Faculty of Economics and Management, Shiraz Branch, Islamic Azad University, Shiraz, Iran

https://doi.org/10.22099/ijes.2018.30437.1475

Abstract

In this study, a model of Bayesian Dynamic Stochastic General Equilibrium (DSGE) from Real Business Cycles (RBC) approach with the aim of identifying the factors shaping price bubbles of Tehran Stock Exchange (TSE) was specified. The above-mentioned model was conducted in two scenarios. In the first scenario, the baseline model with sentiment shock was examined. In this model, stock price bubbles appear endogenously in a positive feedback mechanism that is supported by people optimism. In the second scenario, only sentiment shock is absent from the model. According to the results obtained from the estimation of marginal likelihood model based on Laplace approximation, the baseline model is more in accord with Iran’s economic structure and real data. Consequently, the sentiment shock had a dominant role in creating stock price fluctuations and macroeconomic variables. Based on the results of variance decomposition model, sentiment shock was also recognized as the most important source of fluctuations in bubbles and subsequent fluctuations in stock prices. This shock reflected households’ beliefs about the approximate size of previous bubbles over the recent ones and was passed to the macroeconomic by credit constraints. In this way, this shock also described a major part of the fluctuation of consumption and output. Sentiment shock explained about 86% of stock price fluctuations, 47% of consumption fluctuations, and 39% of output fluctuations.

Keywords

Article Title [Persian]

تکانه احساسی و حباب های قیمت سهام در چارچوب الگوی تعادل عمومی پویای تصادفی: مطالعه موردی ایران

Authors [Persian]

احسان اسدی ¹
هاشم زارع ²
مهرزاد ابراهیمی ²
خسرو پیرایی ¹

¹ گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران

² گروه اقتصاد، دانشکده اقتصاد و مدیریت، واحد شیراز، دانشگاه آزاد اسلامی، شیراز، ایران

Abstract [Persian]

در این مقاله یک الگوی DSGE بیزین از سیکل‌های تجاری حقیقی با هدف شناسایی عوامل شکل دهنده حباب قیمتی بازار سهام تهران تصریح شده است. الگوی مذکور در 2 سناریو انجام شده است: در سناریو اول مدل پایه‌ای تحقیق با وجود شوک احساسی بررسی می‌شود. در سناریو دوم تنها شوک احساسی در مدل حضور ندارد. بر اساس نتایج حاصل شده از براورد درستنمایی نهایی مدل بر اساس تقریب لاپلاس، مدل پایه‌ای با داده‌های واقعی و ساختار اقتصاد ایران سازگارتر است، لذا شوک احساسی در ایجاد نوسان در قیمت سهام و متغیرهای اقتصاد کلان ایران نقش مهمی داشته است. بر اساس نتایج تجزیه واریانس مدل نیز شوک احساسی به عنوان مهمترین منبع نوسانات حباب و به دنبال آن نوسانات قیمت سهام معرفی شده است. این شوک انعکاس دهنده باورهای خانوارها در مورد اندازه نسبی حباب قدیمی نسبت به حباب جدید می‌باشد و از طریق محدودیت-های اعتباری به اقتصاد واقعی انتقال می‌یابد. به این ترتیب این شوک بخش عمده‌ای از نوسانات مصرف و محصول را نیز بیان می‌کند. شوک احساسی حدود 86 درصد از نوسانات قیمت سهام، 47 درصد از نوسانات مصرف و 39 درصد از نوسانات محصول را توضیح می‌دهد.

Keywords [Persian]

حباب قیمتی بازار سهام
الگوسازی DSGE
تکانه احساسی
ادوار تجاری حقیقی
ایران

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