Similar Search Results

Identifying booms and busts in house prices under heterogeneous expectations

Bolt, Wilko; Demertzis, Maria; Diks, Cees G. H.; … - 2014

identify temporary house price bubbles, amplified by trend extrapolation, and crashes reinforced by fundamentalists. The …

Persistent link: https://www.econbiz.de/10010465137

Booms, busts and behavioural heterogeneity in stock prices

Hommes, Cars H.; Veld, Daan in't - 2015 - This draft: July 2015

We empirically evaluate a behavioural model with boundedly rational traders who disagree about the persistence of deviations from the fundamental stock price. Fundamentalist traders believe in mean-reversion, while chartists extrapolate trends. Agents gradually switch between the two rules,...

Persistent link: https://www.econbiz.de/10011301214

Behavioral heterogeneity in stock prices

Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005

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

On bubbles in cryptocurrency prices

Oordt, Maarten R. C. van - 2024

This paper investigates how cryptocurrencies relate to concepts such as bubbles, Ponzi-schemes and digital gold in a …

Persistent link: https://www.econbiz.de/10014634056

The effect of consumers' expectations in a booming housing market

Rouwendal, Jan; Longhi, Simonetta - 2007 - This version: September 26, 2007

‘bubbles’ the spatial pattern of house prices, which can mainly be attributed to accessibility differences, usually remains …

Persistent link: https://www.econbiz.de/10011372973

Secular stagnation, rational bubbles, and fiscal policy

Teulings, Coen N. - 2016

It is well known that rational bubbles can be sustained in balanced growth path of a deterministic economy when the … return to capital r is equal to the growth rate g. When there is a lack of stores of value, bubbles can implement an … capital. Then, bubbles further efficiency, though they cannot implement first best. While bubbles can only be sustained when r …

Persistent link: https://www.econbiz.de/10011540632

Bubbles, crashes and information contagion in large-group asset market experiments

Hommes, Cars H.; Kopányi-Peuker, Anita; Sonnemans, Joep - 2019

". We observe both stable markets and large bubbles for both small and large markets. The data analysis shows no differences … successfully drives prices back towards the fundamental, but we observe very large bubbles in which the news apparently has no …

Persistent link: https://www.econbiz.de/10011979625

Specification testing in Hawkes models

Gresnigt, Francine; Kole, Erik; Franses, Philip Hans - 2015

We propose various specification tests for Hawkes models based on the Lagrange Multiplier (LM) principle. Hawkes models can be used to model the occurrence of extreme events in financial markets. Our specific testing focus is on extending a univariate model to a multivariate model, that is, we...

Persistent link: https://www.econbiz.de/10011298883

Quantifying systemic risk in the presence of unlisted banks : application to the Dutch financial sector

Dimitrov, Daniel; Wijnbergen, Sweder van - 2022

We propose a credit portfolio approach for evaluating systemic risk and attributing it across institutions. We construct a model that can be estimated from high-frequency CDS data. This captures risks from privately held institutions and cooperative banks, extending approaches that rely on...

Persistent link: https://www.econbiz.de/10013202709

Optimal saving rules for loss-averse agents under uncertainty

Siegmann, Adriaan Hendrik - 2001

Persistent link: https://www.econbiz.de/10001606689

1
2
3
4
5
6
7
8
9
10
Next
Last