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Rational bubbles and fractional integration
Kruse, Robinson - 2008
In this article we provide evidence for a rational bubble in S\&P 500 stock prices by applying a test for changing persistence under fractional integration proposed by Sibbertsen and Kruse (2007). We find strong evidence for stationary long memory before the estimated change point in 1955 and a...
Persistent link: https://www.econbiz.de/10010265683
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Bubbles and crashes: Escape dynamics in financial markets
Friedman, Daniel; Abraham, Ralph - 2007
to the payoff gradient. The base model has a stable equilibrium with classic properties. However, bubbles and crashes …
Persistent link: https://www.econbiz.de/10010285342
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Margin trading bans in experimental asset markets
Füllbrunn, Sascha; Neugebauer, Tibor - 2012
In financial markets, professional traders leverage their trades because it allows to trade larger positions with less margin. Violating margin requirements, however, triggers a margin call and open positions are automatically covered until requirements are met again. What impact does margin...
Persistent link: https://www.econbiz.de/10010291801
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Revenue bubbles and structural deficits: What's a state to do?
Mattoon, Richard; McGranahan, Leslie - 2008
The 2001 recession proved alarming to state government finances. A relatively shallow national recession led to a severe downturn in state revenues that took three years to unwind. In the current economic downturn, early signs of fiscal stress are already apparent. This raises several...
Persistent link: https://www.econbiz.de/10010292158
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The role of lenders in the home price boom
Rosen, Richard J. - 2008
This paper examines the relationship between real estate prices during the home price boom from the late 1990s into 2005 and competition among mortgage lenders. The mortgage lending business, especially with the rise of the originate-to-distribute model, had competitors with very different...
Persistent link: https://www.econbiz.de/10010292183
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A leverage-based model of speculative bubbles
Barlevy, Gadi - 2008
This paper develops an equilibrium model of speculative bubbles that can be used to explore the role of various … policies in either giving rise to or eliminating the possibility of asset bubbles, e.g. restricting the use of certain types of …
Persistent link: https://www.econbiz.de/10010292195
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Why did so many people make so many ex post bad decisions? The causes of the foreclosure crisis
Foote, Christopher L.; Gerardi, Kristopher S.; Willen, … - 2012
acknowledge the limits of our understanding of asset price bubbles and design policies accordingly. …
Persistent link: https://www.econbiz.de/10010292274
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Bubbles and information: An experiment
Sutter, Matthias; Huber, Jürgen; Kirchler, Michael - 2008
We study whether information about imminent future dividends can abate bubbles in experimental asset markets. Using the … have smaller, and shorter, bubbles than markets with symmetrically informed or uninformed traders. Hence, fundamental … about the future prospects of an asset. We also find that asymmetric information has a similar abating impact on bubbles as …
Persistent link: https://www.econbiz.de/10010293397
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Bubble or no Bubble - The Impact of Market Model on the Formation of Price Bubbles in Experimental Asset Markets
Kirchler, Michael; Huber, Jürgen; Stöckl, Thomas - 2009
For the past two decades a market model introduced by Smith, Suchanek, and Williams (1988, henceforth SSW) has dominated experimental research on financial markets. In SSW the fundamental value of the traded asset is determined by the expected value of a finite stream of dividend payments. This...
Persistent link: https://www.econbiz.de/10010294788
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Thar she bursts - Reducing confusion reduces bubbles
Kirchler, Michael; Huber, Jürgen; Stöckl, Thomas - 2011
To explore why bubbles frequently emerge in the experimental asset market model of Smith, Suchanek and Williams (1988 …
Persistent link: https://www.econbiz.de/10010294824