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Although there are many stock market anomalies which the Efficient Market Hypothesis (EMH) finds difficult to explain, it also has its strengths, and so far no alternative hypothesis has been developed which can explain what the EMH explains but which can also do a better job in explaining the...
Persistent link: https://www.econbiz.de/10012010417
, drawn from a book in progress, examines the history of stock markets for comparable pure price-chasing bubbles, finding nine … way down - of these greatest asset bubbles in human history. When one applies this framework to the current US stock …
Persistent link: https://www.econbiz.de/10012496514
Should central banks respond to asset price bubbles? This paper explores this monetary policy question in a … hypothetical economy subject to asset price bubbles. Despite the highly stylized structure of the model, the results reveal several …
Persistent link: https://www.econbiz.de/10014124824
coordinated manner. Austrian theory offers an explanation of bubbles based on disruption of interest rates. This theory is tested …. La théorie autrichienne propose une explication des bulles basée sur une perturbation des taux d'intérêt. Grâce à une … hypothèse sur le comportement des taux d'intérêt, cette théorie est testée sur 150 années de données françaises.Between 1719 and …
Persistent link: https://www.econbiz.de/10013098921
. The latter is more likely if bubbles develop along the expansionary path. These (rational) bubbles can emerge even when …
Persistent link: https://www.econbiz.de/10014100918
the dynamics of Bitcoin price during the analyzed time period. We explain this classification of long and short bubbles by … over this period. Then, a detailed analysis of the growing risks associated with the three long bubbles using the Log … bubbles and the four short bubbles that our time scale of analysis was able to resolve. Overall, our predictive scheme …
Persistent link: https://www.econbiz.de/10011899669
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10011343265
-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …
Persistent link: https://www.econbiz.de/10011555939
Most of the economic theory delves into monetary policy based intervention in the event market experiences an asset … policy implementation and its resultant effects raises doubts as to the viability of such an intervention to tackle bubbles … that bubbles evolve in few sectors of the economy. The 90's dot com and recent real estate bubble require focused …
Persistent link: https://www.econbiz.de/10013138558
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647