Equilibrium Indeterminacy and Asset Price Fluctuation in Japan: A Bayesian Investigation
用贝叶斯方法估计金融加速器模型，发现日本经济受太阳黑子冲击影响，但资产价格波动主要由净资产和成本冲击驱动，太阳黑子对资本投资影响较大。
This paper investigates sources of asset price fluctuation in Japan using an estimated financial accelerator model. For explicit treatment of expectational beliefs characterized by sunspots, the model is analyzed over the parameter space where the equilibrium can be indeterminate. We show that indeterminacy arises if the financial accelerator effect is sufficiently large. According to our Bayesian estimation results, Japan's economy was affected by sunspot shocks; however, the contribution of the sunspots to asset price volatility was low. Rather, net worth and cost shocks drove the asset price fluctuation. We find, however, that the sunspots substantially affected capital investment.