We present a self-consistent model for explosive financial bubbles, which combines a mean-reverting volatility process … correctly identifies the bubbles ending in Oct. 1987, in Oct. 1997, in Aug. 1998 and the ITC bubble ending on the first quarter … diagnostic for the duration of bubbles: applied to the period before Oct. 1987 crash, there is clear evidence that the bubble …

monitoring of Bitcoin bubbles and crashes using different time scale data and proposed the modified Lagrange regularization … change. We also aimed to determine the natures of the bubbles and crashes – be it endogenous due to its own price evolution … correlated which to Bitcoin bubbles detected. Based on the daily LPPLS confidence indictor from December 1, 2019 to June 24, 2021 …

) model of endogenous asset price bubbles to monitor crash risk. The model is calibrated to 15 years market history for five …

We develop a model of rational bubbles based on the assumptions of unknown market liquidity and limited liability of … condition for whether rational bubbles are possible. Based on this analysis, we discuss several widely-discussed policy measures … with respect to their effectiveness in preventing bubbles. A reduction of manager bonuses or a Tobin tax can create or …

This paper uncovers a novel mechanism by which bubbles crowd in capital investment. If capital is initially depressed … channel is a robust phenomenon that occurs along the entire time path after bubbles are injected. …

It is well known that rational bubbles can be sustained in balanced growth path of a deterministic economy when the … return to capital r is equal to the growth rate g. When there is a lack of stores of value, bubbles can implement an … capital. Then, bubbles further efficiency, though they cannot implement first best. While bubbles can only be sustained when r …

This paper uncovers a novel mechanism by which bubbles crowd in capital investment. If capital is initially depressed … channel is a robust phenomenon that occurs along the entire time path after bubbles are injected. …

We develop a parsimonious model of bubbles based on the assumption of imprecisely known market depth. In a speculative … possibility of bubbles depending on the risk-free rate, uncertainty about market depth, and traders’ degree of leverage. This … allows us to discuss several policy measures. Bubbles always reduce aggregate welfare. Among others, certain monetary policy …