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Bubbles in hybrid markets : how expectations about algorithmic trading affect human trading
Farjam, Mike; Kirchkamp, Oliver - 2015
Bubbles are omnipresent in lab experiments with asset markets. Most of these experiments were conducted in environments … smaller bubbles if human traders expect algorithmic traders to be present. …
Persistent link: https://www.econbiz.de/10011392621
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Another look at cryptocurrency bubbles
Gronwald, Marc - 2019
This paper deals with cryptocurrency bubbles. First, it points out that a number of recent papers on cryptocurrency … bubbles are awed due to an insufficient consideration of the fundamental value of cryptocurrencies. As even fiat money is said … to exhibit features of bubbles, the same applies to cryptocurrencies. Thus, any empirical investigation into either the …
Persistent link: https://www.econbiz.de/10012033146
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Money is the root of asset bubbles
Awaya, Yu; Iwasaki, Kohei; Watanabe, Makoto - 2024
This paper examines how monetary expansion causes asset bubbles. When there is no monetary expansion, a bubbly asset is …
Persistent link: https://www.econbiz.de/10014467370
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A multiple testing approach to the regularisation of large sample correlation matrices
Bailey, Natalia; Pesaran, M. Hashem; Smith, L. Vanessa - 2014
This paper proposes a novel regularisation method for the estimation of large covariance matrices, which makes use of insights from the multiple testing literature. The method tests the statistical significance of individual pair-wise correlations and sets to zero those elements that are not...
Persistent link: https://www.econbiz.de/10010361374
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Testing for output convergence : a re-examination
Cheung, Yin-Wong; Pascual, Antonio I. Garcia - 2000
This paper investigates output convergence for the G7 countries using multivariate time series techniques. We consider both the null hypotheses of no convergence and convergence. It is shown that inferences on output convergence depend on which one of the two null hypotheses is considered....
Persistent link: https://www.econbiz.de/10009781596
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Variable selection and forecasting in high dimensional linear regressions with structural breaks
Chudik, Alexander; Pesaran, M. Hashem; Sharifvaghefi, Mahrad - 2020
This paper is concerned with problem of variable selection and forecasting in the presence of parameter instability. There are a number of approaches proposed for forecasting in the presence of breaks, including the use of rolling windows or exponential down-weighting. However, these studies...
Persistent link: https://www.econbiz.de/10012258549
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Was Bernanke right? : targeting asset prices may not be a good Idea after all
Assenza, Tiziana; Berardi, Michele; Delli Gatti, Domenico - 2011
Should the central bank prevent "excessive" asset price dynamics or should it wait until the boom spontaneously turns into a crash and intervene only afterwards? The debate over this issue goes back at least to the exchange between Bernanke-Gertler (BG) and Cecchetti but has not settled yet. In...
Persistent link: https://www.econbiz.de/10009377794
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Do bubbles lead to overinvestment? : a revealed preference approach
Chirinko, Robert S.; Schaller, Huntley - 2011
between 15.1% and 45.2% too much capital. These estimates suggest that, even before they burst, bubbles adversely affect … economic activity by misallocating capital. -- bubbles ; investment ; stock markets ; real effects of financial markets …
Persistent link: https://www.econbiz.de/10009153871
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Financial fragility, bubbles and monetary policy
Illing, Gerhard - 2001
The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank's concern about the cost of financial disruption generates an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly...
Persistent link: https://www.econbiz.de/10011398119
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Testing for convergence in stock markets : a non-linear factor approach
Caporale, Guglielmo Maria; Erdogan, Burcu; Kuzin, Vladimir - 2009
This paper applies the Phillips and Sul (2007) method to test for convergence in stock returns to an extensive dataset including monthly stock price indices for five EU countries (Germany, France, the Netherlands, Ireland and the UK) as well as the US over the period 1973-2008. We carry out the...
Persistent link: https://www.econbiz.de/10003898817