Econometric tests of asset price bubbles: taking stock
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 2005 - Business & Economics - 32 pages
What people are saying - Write a review
We haven't found any reviews in the usual places.
absence of bubbles Adam Copeland Andrew Cohen arbitrage arbitrage opportunities Asset Price Bubbles assumption Athanasios Orphanides Bank Brian Sack bubble component bubble process bubble tests cointegration Diba and Grossman diﬁerenced discount rate dividends and stock Driscoll Econometric Tests Economics Discussion Series Egon Zakrajsek Empirical equity prices error term estimate Euler equation Evans ex-post rational price Finance and Economics ﬁnd ﬁnding ﬁrst ﬁts the data Froot and Obstfeld Gurkaynak Hao Zhou Hodrick inﬁnitely Inﬂation integration/cointegration based tests Interest Rates Intrinsic bubbles July justiﬁed Kevin Moore market fundamental price model misspeciﬁcation Monetary Policy no-arbitrage nonlinear nonstationary Norman Morin null hypothesis October paper presence of bubbles present value model prices and dividends pricing equation rational bubble rational expectations Refet regime switching fundamentals Regressions root tests September 2003 Shiller Sola speciﬁcation tests standard model stock price bubble Takeshi Kimura test of bubbles Tests of Asset unit root variance bounds tests volatility West’s test zero