Testing for asset price bubbles: three new approaches
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 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 کاملAsset Price Bubbles and the Case for Asset-Based Reserve Requirements
Challenge/May–June 2003 1 THOMAS PALLEY is director of the Globalization Reform Project at the Open Society Institute in Washington, DC. This paper was presented at a session of the Association for Evolutionary Economics held as part of the Allied Social Science Association meetings in Washington, DC, January 3–5, 2003. The views expressed in this paper are those of the author and not those of ...
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...
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ژورنال
عنوان ژورنال: Quantitative Finance Letters
سال: 2016
ISSN: 2164-9502,2164-9510
DOI: 10.1080/21649502.2015.1165838