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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

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

The mutual predictability of Bitcoin and web search dynamics

Süssmuth, Bernd - In: Journal of Forecasting 41 (2021) 3, pp. 435-454

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

A comment on monetary policy and rational asset price bubbles

Allen, Franklin; Barlevy, Gadi; Gale, Douglas - 2023

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

Stock prices and monetary policy: Re-examining the issue in a New Keynesian model with endogenous investment

Grossi, Michele; Tamborini, Roberto - In: Economics: The Open-Access, Open-Assessment E-Journal 6 (2012) 2012-14, pp. 1-47

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

On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles

Gracia, Eduard - 2012

'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

New instruments for banking regulation and monetary policy after the crisis

Detzer, Daniel - 2012

suitable for the task of tackling asset price bubbles. …

Persistent link: https://www.econbiz.de/10010309122

Early warning indicator model of financial developments using an ordered logit

Reimers, Hans-Eggert - 2012

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

Central banks: Paradise lost

Issing, Otmar - 2012

Persistent link: https://www.econbiz.de/10010311802

An early warning system to predict speculative house price bubbles

Dreger, Christian; Kholodilin, Konstantin A. - In: Economics: The Open-Access, Open-Assessment E-Journal 7 (2013) 2013-8, pp. 1-26

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