Showing 1 - 10 of 41
We provide a simple rational bubble model demonstrating that a concentration of income is necessary and sufficient for the existence of equilibria with risky speculative bubbles. Income concentration among top earners leads to excess savings and depressed interest rates, which facilitate the...
Persistent link: https://www.econbiz.de/10012987723
of individual default risk may facilitate risk-taking. In equilibrium, credit-constrained borrowers may optimally choose …
Persistent link: https://www.econbiz.de/10012936783
We analyze the relationships between bubbles, capital flows, and economic activities in a rational bubble model with two large open economies. We establish a reinforcing relationship between global imbalances and bubbles. Capital flows from South to North facilitate the emergence and the size of...
Persistent link: https://www.econbiz.de/10012905248
surveillance, risk management, and policy action. This chapter provides an R implementation of the popular real-time monitoring … market conditions and ballooning credit risk in real time is therefore of prime importance in the complex exercises of market …
Persistent link: https://www.econbiz.de/10012906699
Identifying and dating explosive bubbles when there is periodically collapsing behavior over time has been a major concern in the economics literature and is of great importance for practitioners. The complexity of the nonlinear structure inherent in multiple bubble phenomena within the same...
Persistent link: https://www.econbiz.de/10013091850
left-tailed tests, the limit theory and test performance are sensitive to the null hypothesis and the model specification …-tailed ADF test repeatedly on a sequence of forward sample recursions. We analyze and compare the limit theory of the sup ADF …
Persistent link: https://www.econbiz.de/10013092751
This paper provides the limit theory of real time dating algorithms for bubble detection that were suggested in …
Persistent link: https://www.econbiz.de/10013075934
Persistent link: https://www.econbiz.de/10014391455
Persistent link: https://www.econbiz.de/10013326551
Persistent link: https://www.econbiz.de/10012819732