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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
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
Economic theory predicts the price dynamics of an unbacked asset to be inherently unforecastable. The same applies to exchange rates of unbacked currencies. Albeit, empirically investors are found to be driven by online and offline news media. This study analyzes the Bitcoin cryptocurrency price...
Persistent link: https://www.econbiz.de/10013368409
Galí (2014) showed that a monetary policy rule that raises interest rates in response to bubbles can paradoxically lead … to larger bubbles. This comment shows that a central bank that wants to dampen bubbles can always do so by raising … argue Galí's model contains additional equilibria in which more aggressive rules dampen bubbles. We show that for these …
Persistent link: https://www.econbiz.de/10014480521
In this paper the authors present a New Keynesian quantitative model with endogenous investment and stock-market sector that may shed further light on two unsettled issues: whether central banks should include some financial indicator in their policy rules, and which indicator may be expected to...
Persistent link: https://www.econbiz.de/10010308738
's q ratio displays regular cycles of bubbles and crashes reflecting an agency problem between investors and producers. The …
Persistent link: https://www.econbiz.de/10010309044
suitable for the task of tackling asset price bubbles. …
Persistent link: https://www.econbiz.de/10010309122
The recent financial crisis has demonstrated in an impressive way that boom/bust cycles can have devastating effects on the real economy. This paper aims at contributing to the literature on early warning indicator exercises for asset price development. Using a sample of 17 industrialised OECD...
Persistent link: https://www.econbiz.de/10010310845
Persistent link: https://www.econbiz.de/10010311802
In this paper, the authors construct country-specific chronologies of the house price bubbles for 12 OECD countries … price bubbles than the signalling approach. Furthermore, the predictive accuracy of the logit and probit models is high … enough to make them useful in forecasting future speculative bubbles in housing market. Thus, this method can be used by the …
Persistent link: https://www.econbiz.de/10010311844