Endogenous Rational Bubbles
نویسنده
چکیده
A weighted replicator dynamic describes how agents switch between a forecast based on fundamentals, a rational bubble forecast and a reective forecast, a weighted average of the former two. If the innovations to the extraneous martingale have a similar magnitude to those of the dividend process and agents are su¢ ciently aggressive in switching forecasting strategies, a signi cant portion of the population may adopt the rational bubble forecast. Tests on simulated data show excess variance in the price and persistence and volatility in the price-dividend ratio and matches the stylized fact that returns are unpredictable in the short run. JEL Classi cation: C22, C73, G12, D84
منابع مشابه
Towards a new model of speculative bubbles: nonparametric test with an application to the Tunisian Stock Index
Bubbles in asset prices have fascinated researchers in finance. Identify asset bubbles, by circumstances, on the stock market has been a growing number of research theoretical and empirical. On a theoretical level, it was assumed that the price dynamics reflect irrational behavior of economic agents and, therefore, should be excluded from a deal with the truly rational economic agents Burmeiste...
متن کاملRational Asset Pricing Bubbles and Debt Constraints
Rational price bubble arises when the price of an asset exceeds the asset’s fundamental value, that is, the present value of future dividend payments. The important result of Santos and Woodford (1997) says that price bubbles cannot exist in equilibrium in the standard dynamic asset pricing model with rational agents facing borrowing constraints as long as assets are in strictly positive supply...
متن کاملTESTING FOR RATIONAL BUBBLES WITH EXOGENOUS OR ENDOGENOUS FUNDAMENTALS The German Hyperinflation Once More
The presence of rational price bubbles during the German hyperinflation is tested under two different structural assumptions on the money process. If the money supply is constrained to be exogenous to the current inflation rate, the hypothesis of no bubble can be rejected. However, this is no longer found to be true when a feedback rule from inflation to money creation is allowed. The analysis ...
متن کاملآزمون حبابهای چندگانه در بازار ارز ایران: کاربردی از آزمونهای ریشه واحد RTADF
The bubble of Asset Price is the deviation of the asset price from its fundamental value. Since the many of the financial crisis arise from bursting bubble of financial assets, the explore of bubble behaviors in these markets and the early detection for the prevention of adverse economic consequences is important. Considering the criticisms of conventional tests for detecting price bubbles and ...
متن کاملBubbles and Overshooting Crash
This paper reviews a model of bubbles under the assumption of heterogeneous rational traders. In the presence of dispersion of opinions, or sequential awareness, financial bubbles are justified by the interactions between rational arbitrageurs and behavioural traders. Timing is a very important component in the trader's strategy. This model is then extended to explain both bubbles and overshoot...
متن کامل