Booms and Busts in the Oil Market: Identifying Speculative Bubbles Using a Continuous-Time Dynamic System
نویسندگان
چکیده
منابع مشابه
Booms, Busts, and Divorce.
For almost a century, anecdotes have suggested that divorce rates decline during recessions. However, until very recently there has been surprisingly little formal empirical evidence on whether such a link exists, let alone its magnitude if it does. Moreover, the anticipated direction of the effect is ambiguous theoretically. Although previous studies have concluded that individual job loss des...
متن کاملWho cares about stock market booms and busts ?
This article investigates the association between stock market activity and mental well-being, exploiting the availability of interview dates in the British Household Panel Survey to match changes in the FTSE 100 stock price index to respondents over the period 1991–2008. We present evidence that annual changes in the price index are associated with better mental well-being whilst greater uncer...
متن کاملIdentification the Periods of Formation and Bursting of Speculative Bubbles in Iranian Stock Market Using Quantitative Models
The purpose of this study is to investigate and identify the periods of formation and bursting of speculative bubbles in Iran's capital market by creating a state space model and two-mode switching regime (mode 1 is bubble growth and burst stage and mode 2 is the time of bubble loss) during the period from April 2011 to March 2018. The Oxmetrics 7 software is used to investigate the existence o...
متن کاملBooms and Busts in Asset Prices
We show how low-frequency boom and bust cycles in asset prices can emerge from Bayesian learning by investors. Investors rationally maximize infinite horizon utility but hold subjective priors about the asset return process that we allow to differ infinitesimally from the rational expectations prior. Bayesian updating of return beliefs then gives rise to self-reinforcing return optimism that re...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Complexity
سال: 2021
ISSN: 1099-0526,1076-2787
DOI: 10.1155/2021/8883416