A Specification Test for Speculative Bubbles
Author | : Kenneth David West |
Publisher | : |
Total Pages | : 28 |
Release | : 1986 |
Genre | : Dividends |
ISBN | : |
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Author | : Kenneth David West |
Publisher | : |
Total Pages | : 28 |
Release | : 1986 |
Genre | : Dividends |
ISBN | : |
Author | : Kenneth D. West |
Publisher | : |
Total Pages | : |
Release | : 1988 |
Genre | : |
ISBN | : |
The set of parameters needed to calculate the expected present discounted value of a stream of dividends can be estimated in two ways. One may test for speculative bubbles, or fads, by testing whether the two estimates are the same. When the test is applied to some annual U.S. stock market data, the data usually reject the null hypothesis of no bubbles. The test is of general interest since it may be applied to a wide class of linear rational expectations models.
Author | : Lii-Tarn Chen |
Publisher | : |
Total Pages | : 240 |
Release | : 1995 |
Genre | : Speculation |
ISBN | : |
Author | : Aslı Demirgüç-Kunt |
Publisher | : |
Total Pages | : 24 |
Release | : 1988 |
Genre | : Speculation |
ISBN | : |
Author | : Tom Engsted |
Publisher | : |
Total Pages | : 21 |
Release | : 2003 |
Genre | : |
ISBN | : |
Author | : Robert P. Flood |
Publisher | : MIT Press |
Total Pages | : 528 |
Release | : 1994 |
Genre | : Business & Economics |
ISBN | : 9780262061698 |
The papers in this book are grouped into three sections: the first on price bubbles is primarily financial; the second on speculative attacks (on exchange rate regimes) is international in scope; and the third, on policy switching, is concerned with monetary policy.
Author | : Kieran Davis |
Publisher | : |
Total Pages | : 288 |
Release | : 1997 |
Genre | : Stock exchanges |
ISBN | : |
Author | : Bradley Jones |
Publisher | : International Monetary Fund |
Total Pages | : 49 |
Release | : 2014-11-19 |
Genre | : Business & Economics |
ISBN | : 1484398270 |
In the aftermath of the global financial crisis, the issue of how best to identify speculative asset bubbles (in real-time) remains in flux. This owes to the difficulty of disentangling irrational investor exuberance from the rational response to lower risk based on price behavior alone. In response, I introduce a two-pillar (price and quantity) approach for financial market surveillance. The intuition is straightforward: while asset pricing models comprise a valuable component of the surveillance toolkit, risk taking behavior, and financial vulnerabilities more generally, can also be reflected in subtler, non-price terms. The framework appears to capture stylized facts of asset booms and busts—some of the largest in history have been associated with below average risk premia (captured by the ‘pricing pillar’) and unusually elevated patterns of issuance, trading volumes, fund flows, and survey-based return projections (reflected in the ‘quantities pillar’). Based on a comparison to past boom-bust episodes, the approach is signaling mounting vulnerabilities in risky U.S. credit markets. Policy makers and regulators should be attune to any further deterioration in issuance quality, and where possible, take steps to ensure the post-crisis financial infrastructure is braced to accommodate a re-pricing in credit risk.
Author | : Garett Jones |
Publisher | : Springer |
Total Pages | : 365 |
Release | : 2016-01-26 |
Genre | : Business & Economics |
ISBN | : 1137553790 |
Why do banks collapse? Are financial systems more fragile in recent decades? Can policies to fix the banking system do more harm than good? What's the history of banking crises? With dozens of brief, non-technical articles by economists and other researchers, Banking Crises offers answers from diverse scholarly viewpoints.
Author | : Markus Konrad Brunnermeier |
Publisher | : Oxford University Press, USA |
Total Pages | : 264 |
Release | : 2001 |
Genre | : Business & Economics |
ISBN | : 9780198296980 |
The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.