Rational Bubbles

Rational Bubbles
Author :
Publisher : Springer Science & Business Media
Total Pages : 270
Release :
ISBN-10 : 9783642591815
ISBN-13 : 3642591817
Rating : 4/5 (15 Downloads)

Book Synopsis Rational Bubbles by : Matthias Salge

Download or read book Rational Bubbles written by Matthias Salge and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 270 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. . . . . . . . . . . . . . .


Rational Bubbles Related Books

Rational Bubbles
Language: en
Pages: 270
Authors: Matthias Salge
Categories: Business & Economics
Type: BOOK - Published: 2012-12-06 - Publisher: Springer Science & Business Media

DOWNLOAD EBOOK

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 ca
Bursting the Bubble: Rationality in a Seemingly Irrational Market
Language: en
Pages: 206
Authors: David F. DeRosa
Categories: Business & Economics
Type: BOOK - Published: 2021-04-02 - Publisher: CFA Institute Research Foundation

DOWNLOAD EBOOK

The presence of speculative bubbles in capital markets (an important area of interest in financial history) is widely accepted across many circles. Talk of them
Crises in the Economic and Financial Structure
Language: en
Pages: 376
Authors: Paul Wachtel
Categories: Business & Economics
Type: BOOK - Published: 1982 - Publisher: Free Press

DOWNLOAD EBOOK

Discuss four crisis-prone areas of the economy-monetary control, bankruplcy, the international economy, and speculative bubbles.
Asset Price Bubbles
Language: en
Pages: 650
Authors: William Curt Hunter
Categories: Business & Economics
Type: BOOK - Published: 2005 - Publisher: MIT Press

DOWNLOAD EBOOK

A study of asset price bubbles and the implications for preventing financial instability.
Housing Bubbles
Language: en
Pages: 98
Authors: Sergi Basco
Categories: Business & Economics
Type: BOOK - Published: 2018-10-01 - Publisher: Springer

DOWNLOAD EBOOK

“This book provides an accessible, yet formal framework to understand how housing bubbles arise, their international dimension, their consequences, and ways t