Econometric Tests of Asset Price Bubbles: Taking StockDivisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Social interaction - 32 pages |
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Page 1
... , and there are no arbitrage opportunities when there are rational bubbles . Section 2 below develops the basic asset pricing 1 The data is from Shiller ( 2003 ) . relation and rational bubble from a utility maximization problem and 1.
... , and there are no arbitrage opportunities when there are rational bubbles . Section 2 below develops the basic asset pricing 1 The data is from Shiller ( 2003 ) . relation and rational bubble from a utility maximization problem and 1.
Page 4
... arbitrage implies 1 + r Et ( Pt + i − 1 ) = 1 Er ( Pr + i + de + i ) . ( 2 ) Equation ( 2 ) is the starting point of most empirical asset pricing tests . This first - degree difference equation can be iterated forward to reveal the ...
... arbitrage implies 1 + r Et ( Pt + i − 1 ) = 1 Er ( Pr + i + de + i ) . ( 2 ) Equation ( 2 ) is the starting point of most empirical asset pricing tests . This first - degree difference equation can be iterated forward to reveal the ...
Page 17
... arbitrage opportunities and impossibility of negative prices . Lack of arbitrage opportunities imply that there are no excess returns from holding an asset with a bubble component , i.e. , Et ( Bt + 1 ) = ( 1 + r ) Bt , as in equation ...
... arbitrage opportunities and impossibility of negative prices . Lack of arbitrage opportunities imply that there are no excess returns from holding an asset with a bubble component , i.e. , Et ( Bt + 1 ) = ( 1 + r ) Bt , as in equation ...
Common terms and phrases
absence of bubbles Adam Copeland Andrew Cohen April arbitrage opportunities Asset Price Bubbles assumption Athanasios Orphanides August Bank Brian Sack Bt+1 bubble component bubble process bubble tests cointegration December Diba and Grossman differenced discount rate dividends and stock Driffill and Sola Driscoll econometric tests Economics Discussion Series Egon Zakrajsek Empirical equity prices estimate Euler equation Evans ex-post rational price Finance and Economics Froot and Obstfeld Gurkaynak Hao Zhou Hodrick Inflation integration/cointegration based tests Interest Rates Intrinsic bubbles July Kevin Moore market fundamental price Monetary Policy no-arbitrage nonlinear nonstationary Norman Morin null hypothesis October paper presence of bubbles present value model prices and dividends rational bubble Refet regime switching fundamentals Regressions root tests September 2003 Shiller specification tests standard model stock price bubble Takeshi Kimura test of bubbles Tests of Asset Tim Bollerslev unit root unit root tests unobserved fundamentals variance bounds tests Volatility West's test zero