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Towards a general theory of the stock market
Fender, John - 2016
Although there are many stock market anomalies which the Efficient Market Hypothesis (EMH) finds difficult to explain, it also has its strengths, and so far no alternative hypothesis has been developed which can explain what the EMH explains but which can also do a better job in explaining the...
Persistent link: https://www.econbiz.de/10012010417
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The Souk Al-Manakh: the anatomy of a pure price-chasing bubble
Veneroso, Frank; Pasquali, Mark - 2021
, drawn from a book in progress, examines the history of stock markets for comparable pure price-chasing bubbles, finding nine … way down - of these greatest asset bubbles in human history. When one applies this framework to the current US stock …
Persistent link: https://www.econbiz.de/10012496514
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Should Monetary Policy Respond to Asset Price Bubbles? Some Experimental Results
Filardo, Andrew J. - 2002
Should central banks respond to asset price bubbles? This paper explores this monetary policy question in a … hypothetical economy subject to asset price bubbles. Despite the highly stylized structure of the model, the results reveal several …
Persistent link: https://www.econbiz.de/10014124824
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Speculative Growth : Hints from the U.S. Economy
Caballero, Ricardo J.; Farhi, Emmanuel; Hammour, Mohamad L. - 2004
. The latter is more likely if bubbles develop along the expansionary path. These (rational) bubbles can emerge even when …
Persistent link: https://www.econbiz.de/10014100918
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Behavioral heterogeneity in stock prices
Boswijk, Herman Peter; Hommes, Cars H.; Manzan, Sebastiano - 2005
We estimate a dynamic asset pricing model characterized by heterogeneous boundedly rational agents. The fundamental value of the risky asset is publicly available to all agents, but they have different beliefs about the persistence of deviations of stock prices from the fundamental benchmark. An...
Persistent link: https://www.econbiz.de/10011343265
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Periodically collapsing bubbles in stock prices cointegrated with broad dividends and macroeconomic factors
Fu, Man; Bidarkota, Prasad V. - In: Journal of risk and financial management : JRFM 4 (2012) 1, pp. 97-132
-Fuller test reveals existence of periodically collapsing bubbles in S&P 500 data during the late 1990s. …
Persistent link: https://www.econbiz.de/10011555939
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Central Bank Intervention : Preempting Asset Price Bubble
Khan, Salman - 2010
Most of the economic theory delves into monetary policy based intervention in the event market experiences an asset … policy implementation and its resultant effects raises doubts as to the viability of such an intervention to tackle bubbles … that bubbles evolve in few sectors of the economy. The 90's dot com and recent real estate bubble require focused …
Persistent link: https://www.econbiz.de/10013138558
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Stationary threshold vector autoregressive models
Grynkiv, Galyna; Stentoft, Lars - In: Journal of risk and financial management : JRFM 11 (2018) 3, pp. 1-23
This paper examines the steady state properties of the Threshold Vector Autoregressive model. Assuming that the trigger variable is exogenous and the regime process follows a Bernoulli distribution, necessary and sufficient conditions for the existence of stationary distribution are derived. A...
Persistent link: https://www.econbiz.de/10011895647
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Optimal Macroprudential Policy and Asset Price Bubbles
Biljanovska, Nina - 2019
that the macroprudential policy should optimally respond to building asset price bubbles non-monotonically depending on the …
Persistent link: https://www.econbiz.de/10012862442
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Bubble Sentiment
Li, Gen - 2020
predicts a bubble’s future maximum drawdown …
Persistent link: https://www.econbiz.de/10014352275