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The Financial Crisis in Japan – Are There Similarities to the Current Situation?
Mayr, Johannes - In: CESifo Forum 9 (2008) 4, pp. 64-68
Persistent link: https://www.econbiz.de/10004998593
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Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Norden, Simon van; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (1998) 1, pp. 1-22
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that … tests conservative; they understate the significance of the evidence of bubbles. Despite this, the tests display … considerable power to detect bubbles even when using the conservative asymptotic critical values. We also find that the frequency …
Persistent link: https://www.econbiz.de/10005046486
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Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles?
Norden, Simon van; Vigfusson, Robert - In: Studies in Nonlinear Dynamics & Econometrics 3 (2007) 1, pp. 1-22
Our paper uses simulation methods to examine the size and power of regime-switching tests for bubbles. We find that … tests conservative; they understate the significance of the evidence of bubbles. Despite this, the tests display … considerable power to detect bubbles even when using the conservative asymptotic critical values. We also find that the frequency …
Persistent link: https://www.econbiz.de/10004966237
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Fundamentals, Misvaluation, and Investment. The Real Story
Chirinko, Robert S.; Schaller, Huntley - Department of Economics and Finance Research and … - 2006
Is real investment fully determined by fundamentals or is it sometimes affected by stockmarket misvaluation? We introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama-MacBeth regressions to determine whether "overinvestment"...
Persistent link: https://www.econbiz.de/10005572020
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With a bang, not a whimper: Pricking Germany's "stock market bubble" in 1927 and the slide into depression
Voth, Hans Joachim - Department of Economics and Business, Universitat … - 2000
In May 1927, the German central bank intervened indirectly to reduce lending to equity investors. The crash that followed ended the only stock market boom during Germany’s relative stabilization 1924-28. This paper examines the factors that lead to the intervention as well as its consequences....
Persistent link: https://www.econbiz.de/10005572613
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Fundamentals, Misvaluation, and Investment: The Real Story
Chirinko, Robert S.; Schaller, Huntley - CESifo - 2007
Is real investment fully determined by fundamentals or is it sometimes affected by stock market misvaluation? We introduce three new tests that: measure the reaction of investment to sales shocks for firms that may be overvalued; use Fama-MacBeth regressions to determine whether "overinvestment"...
Persistent link: https://www.econbiz.de/10005766115
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With a Bang, Not a Whimper: Pricking Germany's 'Stock Market Bubble' in 1927 and the Slide into Depression
Voth, Hans-Joachim - C.E.P.R. Discussion Papers - 2002
Asset price inflation presents central banks with a puzzle. I examine the case of Germany, 1925-7, when the Reichsbank intervened to bring down stock prices, rectify imbalances and curb speculation. Present value relations, comparisons with historical valuation measures and the time-series...
Persistent link: https://www.econbiz.de/10005792124
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Bubbles, Fundamentals, and Investment: A New Multiple Equation Specification Testing Strategy
Chirinko, Robert S.; Schaller, Huntley - Harris School of Public Policy, University of Chicago - 1992
if there are "bubbles", they may not distort real behaviour if managers base investment decisions on fundamentals. Using … decisions on fundamentals despite stock market bubbles. Three types of collateral evidence reinforce this interpretation. We …
Persistent link: https://www.econbiz.de/10005703888
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What Can We Learn for Today from 300-Year-Old Writings about Stock Markets?
Harrison, Paul - In: History of Political Economy 36 (2004) 4, pp. 667-688
Persistent link: https://www.econbiz.de/10010569436
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Letting the speculative and the news views of the Japanese business cycle compete
Karnizova, Lilia - In: Economics Bulletin 33 (2013) 2, pp. 1146-1158
This note uses a dynamic stochastic general equilibrium model with direct preferences for financial wealth to explore how stock price booms and busts relate to the real side of the economy. It evaluates the 'speculative' (sunspots) and 'news' (anticipated future changes in productivity)...
Persistent link: https://www.econbiz.de/10010658620