rational-bubbles

Download Book Rational Bubbles in PDF format. You can Read Online Rational Bubbles here in PDF, EPUB, Mobi or Docx formats.

Rational Bubbles

Author : Matthias Salge
ISBN : 9783642591815
Genre : Business & Economics
File Size : 23. 37 MB
Format : PDF, ePub, Mobi
Download : 399
Read : 560

Get This Book


3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. . . . . . . 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests . . . . . . . . . 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests . . . 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests . 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests . . . . . . . . . . . . . . . . . . . . . . . . 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat . . . . . 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data . . . . . . . 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles . . 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles . . 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests. . . . . . . . . . . . . . .

Asset Price Bubbles

Author : William Curt Hunter
ISBN : 0262582538
Genre : Business & Economics
File Size : 66. 94 MB
Format : PDF
Download : 663
Read : 1112

Get This Book


A study of asset price bubbles and the implications for preventing financial instability.

Empirical Finance

Author : Sardar M. N. Islam
ISBN : 9783790826661
Genre : Business & Economics
File Size : 26. 25 MB
Format : PDF, ePub
Download : 769
Read : 754

Get This Book


This book makes two key contributions to empirical finance. First it provides a comprehensive analysis of the Thai stock market. Second it presents an excellent exposition ofhow modem econometric techniques can be utilised to understand a market. The increasing globalisation of the world's financial markets has made our un derstanding of the risk-return relationship in a broader range of markets critical. This is particularly so in emerging markets where market depth and liquidity are major issues. One such emerging market is Thailand. The Thai capital market isof particular interest given that it was the market in which the Asian financial crises commenced. As such an understanding ofthe Thai capital market via study of the pre and post-crisis periods enables one to shed light on one of the major financial markets events of recent times. This book provides a quantitative analysis of the Thai capital market using some very useful and recent econometric techniques. The book provides an over view of the Thai stock market in chapter 2. Descriptive statistics and time series models (moving average, exponential smoothing, ARIMA) are presented in chap ter 3 followed by market efficiency tests based on autocorrelations in chapter 4. A richer set of models is then considered in chapters 5 through 8. Chapter 5 finds a cointegrating relationship between macroeconomic factors and stock returns.

Housing Bubbles

Author : Sergi Basco
ISBN : 9783030005870
Genre : Business & Economics
File Size : 62. 51 MB
Format : PDF, Docs
Download : 511
Read : 855

Get This Book


“This book provides an accessible, yet formal framework to understand how housing bubbles arise, their international dimension, their consequences, and ways to prevent them.” Òscar Jordà, University of California, Davis, USA “Basco’s analysis blends, in a very rigorous but enjoyable manner , state-of-the-art theory and historical examples, adding also a very timely and valuable set of policy orientations.” Óscar Arce, Director General, Banco de España, Madrid, Spain Booms and busts of house prices are a recurrent feature throughout history. This book provides a comprehensive overview of the origins and economic consequences of these housing bubbles. The book starts with a formal definition of asset price bubbles and a summary of the most famous episodes, before describing how economists have thought about asset price bubbles; specifically behavioral vs. rational interpretations. These theories are applied to the special case of housing and the same framework is used to explain the implications of financial globalization for capital flows and housing bubbles. After analyzing its origins, the economic consequences of housing bubbles for both households and firms are derived and documented. The final sections are devoted to discussing the effects of financial crises and explain how financial regulation could mitigate the emergence of future housing bubbles. Case studies of the recent housing bubbles in the United States and Spain are also featured in the book. This book will be of value to advanced undergraduate macroeconomic courses, as well as researchers in international economics and macroeconomics and policy makers.

A Direct Test Of Rational Bubbles

Author : Friedrich Geiecke
ISBN : OCLC:1073882892
Genre :
File Size : 37. 81 MB
Format : PDF, Mobi
Download : 553
Read : 948

Get This Book



Financial Market Bubbles And Crashes Second Edition

Author : Harold L. Vogel
ISBN : 9783319715285
Genre : Business & Economics
File Size : 56. 1 MB
Format : PDF, ePub
Download : 808
Read : 1258

Get This Book


Economists broadly define financial asset price bubbles as episodes in which prices rise with notable rapidity and depart from historically established asset valuation multiples and relationships. Financial economists have for decades attempted to study and interpret bubbles through the prisms of rational expectations, efficient markets, and equilibrium, arbitrage, and capital asset pricing models, but they have not made much if any progress toward a consistent and reliable theory that explains how and why bubbles (and crashes) evolve and can also be defined, measured, and compared. This book develops a new and different approach that is based on the central notion that bubbles and crashes reflect urgent short-side rationing, which means that, as such extreme conditions unfold, considerations of quantities owned or not owned begin to displace considerations of price.

Rational Bubbles Under Diverse Information

Author : Dahai Yu
ISBN : UCSD:31822025982166
Genre : Rational expectations (Economic theory)
File Size : 25. 81 MB
Format : PDF, Kindle
Download : 376
Read : 785

Get This Book



Secular Stagnation Rational Bubbles And Fiscal Policy

Author : C. N. Teulings
ISBN : OCLC:942761677
Genre : Assets (Accounting)
File Size : 75. 66 MB
Format : PDF, Docs
Download : 217
Read : 705

Get This Book


It is well known that rational bubbles can be sustained in a dynamically inefficient economy, where the return to capital r is below the growth rate g. However, empirical evidence suggests that modern economies are most of the time on an efficient path with r>g. This paper shows that rational bubbles can be sustained when rg for some episodes only. Bubbly assets are shown to enhance efficiency, although they do not allow the implementation of first-best. Where r

From Catastrophe To Chaos A General Theory Of Economic Discontinuities

Author : J. Barkley Rosser
ISBN : 0792377702
Genre : Business & Economics
File Size : 32. 67 MB
Format : PDF, Docs
Download : 985
Read : 614

Get This Book


From Catastrophe to Chaos: A General Theory of Economic Discontinuities presents and unusual perspective on economics and economic analysis. Current economic theory largely depends upon assuming that the world is fundamentally continuous. However, an increasing amount of economic research has been done using approaches that allow for discontinuities such as catastrophe theory, chaos theory, synergetics, and fractal geometry. The spread of such approaches across a variety of disciplines of thought has constituted a virtual intellectual revolution in recent years. This book reviews the applications of these approaches in various subdisciplines of economics and draws upon past economic thinkers to develop an integrated view of economics as a whole from the perspective of inherent discontinuity.

The Contribution Of Speculative Bubbles To Farmland Prices

Author : Abebayehu Tegene
ISBN : UIUC:30112046856685
Genre : Agriculture
File Size : 35. 92 MB
Format : PDF, Kindle
Download : 630
Read : 1120

Get This Book



Bubbles Rational Expectations And Financial Markets

Author : Olivier J. Blanchard
ISBN : IND:30000001667132
Genre : Capital assets pricing model
File Size : 21. 31 MB
Format : PDF, ePub
Download : 897
Read : 281

Get This Book


This paper investigates the nature and the presence of bubbles in financial markets. Are bubbles consistent with rationality? If they are, do they, like Ponzi games, require the presence of new players forever? Do they imply impossible events in finite time, such as negative prices? Do they need to go on forever to be rational? Can they have real effects? These are some of the questions asked in the first three sections. The general conclusion is that bubbles, in many markets, are consistent with rationality, that phenomena such as runaway asset prices and market crashes are consistent with rational bubbles. In the last two sections, we consider whether the presence of bubbles in a particular market can be detected statistically. The task is much easier if there are data on both prices and returns. In this case, as shown by Shiller and Singleton, the hypothesis of no bubble implies restrictions on their joint distribution and can be tested. In markets in which returns are difficult to observe, possibly because of a nonpecuniary component, such as gold, the task is more difficult. We consider the use of both "runs tests" and "tail tests" and conclude that they give circumstantial evidence at best.

Testing For Rational Bubbles In A Co Explosive Vector Autoregression

Author : Tom Engsted
ISBN : OCLC:838040607
Genre :
File Size : 83. 54 MB
Format : PDF
Download : 636
Read : 497

Get This Book



Economic Policy And Stabilization In Latin America

Author : Nader Nazmi
ISBN : 0765639726
Genre : Business & Economics
File Size : 52. 67 MB
Format : PDF, ePub
Download : 419
Read : 376

Get This Book


An analysis of economic policy in Latin America. The text utilises six case studies, and features the economic policies of the 1990s, mathematical and statistical modelling, and a review of competing paradigms.

The Economics Of Foreign Exchange And Global Finance

Author : Peijie Wang
ISBN : 9783642001000
Genre : Business & Economics
File Size : 47. 91 MB
Format : PDF, ePub, Docs
Download : 405
Read : 1116

Get This Book


The book is designed to integrate the theory of foreign exchange rate determi- tion and the practice of global finance in a single volume, which demonstrates how theory guides practice, and practice motivates theory, in this important area of scholarly work and commercial operation in an era when the global market has become increasingly integrated. The book presents all major subjects in international monetary theory, foreign exchange markets, international financial management and investment analysis. The book is relevant to real world problems in the sense that it provides guidance on how to solve policy issues as well as practical management tasks. This in turn helps the reader to gain an understanding of the theory and refines the framework. This new edition of the book incorporates two new chapters, together with - dating most chapters in the first edition, integrating new materials, data, and/or the recent developments in the areas. A new chapter on the portfolio balance approach to exchange rate determination is included, in addition to the major models - cluded in the first edition: the Mundell-Fleming model, the flexible price monetary model, the sticky price monetary model featured by the Dornbusch model and the real interest rate differential model. This makes the book inclusive in exchange rate theories. A second new chapter included is on issues in balance of payments or international transactions and their interactions with exchange rates, changes in exchange rates and exchange rate policies.

Rational Speculative Bubbles In An Exchange Rate Target Zone

Author : Willem H. Buiter
ISBN : UCSD:31822003996147
Genre : Commerce
File Size : 33. 7 MB
Format : PDF
Download : 115
Read : 1171

Get This Book


The recent theory of exchange rate dynamics within a target zone holds that exchange rates under a currency band are less responsive to fundamental shocks than exchange rates under a free float, provided that the intervention rules of the Central Bank(s) are common knowledge. These results are derived after having assumed a priori that excess volatility due to rational bubbles does not occur in the foreign exchange market. In this paper we consider instead a set-up in which the existence of speculative behaviour is a datum with which the central bank has to deal. We show that the defence of the target zone in the presence of bubbles is viable if the Central Bank accommodates speculative attacks when the latter are consistent with the survival of the target zone itself and expectations are self-fulfilling. We show that the instantaneous volatility of exchange rates within a bank is not necessarily less than the volatility under free float. There need not be a constant tradeoff between the volatility of the change in the exchange rate and the volatility of the change in the interest rate differential. Fundamental-dependent bubbles can account for the excess response of the exchange rate to the fundamental. The relationship between the exchange rate and the interest differential need not be negative, even if the target zone is fully credible.

Tech Stock Valuation

Author : Mark Hirschey
ISBN : 0123497043
Genre : Business & Economics
File Size : 72. 26 MB
Format : PDF, ePub, Mobi
Download : 993
Read : 786

Get This Book


The contribution of research and development to a company's market value has grown considerably in recent years. In the mid-1970s, accountants were able to capture on their ledgers 90-95% of a firm's book value, but by 2000 the importance of intangible assets had grown to the point where they could account for only 13-15%. Financial economists and accountants have investigated the link between a firm's market value and its R&D spending, and various factions advocate a variety of positions on the amount and rate of investment, investors' ability to capture returns on that investment, and ways to measure value, investment, and returns. 'Tech Stock Valuation' extends the R&D literature by providing detailed direct evidence on the market value implications of inventive and innovative output. Specifically, the book demonstrates that stock-price effects of patent output are most pronounced in the case of of high-quality patents, where patent quality is measured by scientific merit. Scientific measures of patent quality give tech stock investors and R&D managers a valuable new tool that can be used to measure R&D program effectiveness. At the same time, it gives investors a new tool to help them assess the value of hard-to-measure intangible assets. *Provides detailed direct evidence on the market value implications of inventive and innovative output *Based on recent research, much of which Dr. Hirschey has pioneered *Gives financial professionals a new tool for assessing R&D quality and its relation to market valuation

Rational Asset Pricing Bubbles

Author : Manuel Santos Santos
ISBN : UCSD:31822016862658
Genre : Assets (Accounting)
File Size : 42. 88 MB
Format : PDF, Docs
Download : 498
Read : 755

Get This Book



New Perspectives On Asset Price Bubbles

Author : Douglas D. Evanoff
ISBN : 9780199939404
Genre : Business & Economics
File Size : 51. 5 MB
Format : PDF, Mobi
Download : 523
Read : 484

Get This Book


This volume critically re-examines the profession's understanding of asset bubbles in light of the global financial crisis of 2007-09. It is well known that bubbles have occurred in the past, with the October 1929 crash as the most demonstrative example. However, the remarkably well-behaved performance of the US economy from 1945 to 2006, and, in particular during the Great Moderation period of 1984 to 2006, assured the economics profession and monetary policymakers that asset bubbles could be effectively managed with little or no real economic impact. The recent financial crisis has now triggered a debate about the emergence of a sequence of repeated bubbles in the Nasdaq market, housing market, credit market, and commodity markets. The realities of the crisis have intensified theoretical modeling, empirical methodologies, and debate on policy issues surrounding asset price bubbles and their potentially adverse economic impact if poorly managed. Taking a novel approach, the editors of this book present five classic papers that represent accepted thinking about asset bubbles prior to the financial crisis. They also include original papers challenging orthodox thinking and presenting new insights. A summary essay highlights the lessons learned and experiences gained since the crisis.

Rational Bubbles In Non Linear Business Cycle Models

Author : Mariarosaria Comunale
ISBN : OCLC:1190701015
Genre :
File Size : 30. 20 MB
Format : PDF, Mobi
Download : 500
Read : 383

Get This Book



Rational Inflation And Real Internal Debt Bubbles In Argentina And Brazil?

Author : John H. Welch
ISBN : UCSD:31822015032584
Genre : Debts, Public
File Size : 68. 27 MB
Format : PDF, Mobi
Download : 383
Read : 858

Get This Book



Top Download:

Best Books