Breuss, Fritz. 2011. Global financial crisis as a phenomenon of stock market overshooting. Empirica 38 (1): http://www.springerlink.com/content/240r3tq22485713n/.

RIS

@MISC{Breuss2011,
title = {Global financial crisis as a phenomenon of stock market overshooting},
author = {Fritz Breuss},
year = {2011},
url = {http://www.springerlink.com/content/240r3tq22485713n/},
volume = {38},
number = {1},
language = {EN},
journal = {Empirica},
abstract = {Inspired by Dornbusch's model of exchange rate overshooting we develop a theory of stock market behaviour and its impact on the real economy. The idea is that stock market prices overshoot and undershoot their long-run equilibrium values which are determined by the development in the real economy. The over-shooting is triggered primarily by a loose monetary policy. With our model we explain the genesis of the global financial crisis (GFC) 2008/2009 primarily as the result of a loose monetary policy in the USA. Following the overshooting and crash in the stock market the real economy dropped into a recession. After modelling the interaction of three markets with different speed of adjustment - money, stocks and goods - for a closed economy we expand it to an open economy and lastly study the spillovers of a financial market crisis between countries (from a large to a small country) by introducing the transmission channels of external trade or cross-border financial transactions. A long-lasting monetary easing as exhibiting by the Fed and the ECB since 2007 and 2008, respectively could - according to our model - generate another boom-bust cycle.},
}