Signaling Asset Price Bubbles with Time-Series Methods
نویسندگان
چکیده
منابع مشابه
Price Bubbles Spillover among Asset Markets: Evidence from Iran
T his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in Iran from 2002:03 to 2015:06. For this purpose, we have exploited Sigma-Point Kalman Filter (SPKF) to extract the bubble component of assets prices in the aforementioned Markets. Then, in order to analyze the price bubbles spi...
متن کاملAsset-price Bubbles and Monetary Policy
for helpful discussions and comments, and to Pam Dillon and Paula Drew for assistance in preparing this document. The views expressed are those of the authors and should not be attributed to the Reserve Bank of Australia.
متن کاملAsset Price Bubbles and Crashes with Near-Zero-Intelligence Traders
We examine whether a simple agentbased model can generate asset price bubbles and crashes of the type observed in a series of laboratory asset market experiments beginning with the work of Smith, Suchanek and Williams (1988). We follow the methodology of Gode and Sunder (1993, 1997) and examine the outcomes that obtain when populations of zerointelligence (ZI) budget constrained, artiÞcial ag...
متن کاملprice bubbles spillover among asset markets: evidence from iran
t his paper investigates the existence of possible spillover effects among four main asset markets namely foreign exchange, stock, gold, and housing markets in iran from 2002:03 to 2015:06. for this purpose, we have exploited sigma-point kalman filter (spkf) to extract the bubble component of assets prices in the aforementioned markets. then, in order to analyze the price bubbles spillover amon...
متن کاملHow Should Monetary Policy Respond to Asset-price Bubbles?
We present a simple model of the macroeconomy that includes a role for an assetprice bubble, and derive optimal monetary policy settings for two policy-makers. The first policy-maker, a sceptic, does not attempt to forecast the future possible paths for the asset-price bubble when setting policy. The second policy-maker, an activist, takes into account the complete stochastic implications of th...
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: SSRN Electronic Journal
سال: 2012
ISSN: 1556-5068
DOI: 10.2139/ssrn.1998236