Numerous factors have been proposed in the literature as explaining the recent commodity price movements. In this paper we focus on one of the most widely discussed factors, the impact of speculative bubbles. We investigate whether commodity prices during the spike of 2007–2008 might have deviated from their intrinsic values based on market fundamentals. To do this, we use a bootstrap methodolo...

Pertaining to Agent-based Computational Economics (ACE), this work presents two models for the rise and downfall of speculative bubbles through an exchange price fixing based on a double auction mechanism. The first model is based in a finite time horizon context where total expected dividends decrease along with time. The second model follows the greater fool hypothesis: an agent behaviour dep...

We define and study a rather complex market model, inspired from the Santa Fe artificial market and the Minority Game. Agents have different strategies among which they can choose, according to their relative profitability, with the possibility of not participating to the market. The price is updated according to the excess demand, and the wealth of the agents is properly accounted for. Only tw...

We build a dynamic general equilibrium model with heterogeneous producers and financial market imperfections (collateral constraints and incompleteness). First, we prove the existence of equilibrium and provide a tractable characterization to check whether a sequence is an equilibrium. Second, we study the e↵ects of financial imperfections on economic growth and land prices. Third, we develop a...

A taxonomy of large financial crashes proposed in the literature locates the burst of speculative bubbles due to endogenous causes in the framework of extreme stock market crashes, defined as falls of market prices that are outlier with respect to the bulk of drawdown price movement distribution. This paper goes on deeper in the analysis providing a further characterization of the rising part o...

We report a laboratory experiment that investigates the impact of observational learning and visual information display on bubble formation in asset markets with inexperienced and experienced traders. We first vary whether the continuously-updated transaction prices are displayed in a column of text or in a graphical display (with time on the X-axis and price on the Y-axis). Second, to explore ...

Using a recently introduced rational expectation model of bubbles, based on the interplay between stochasticity and positive feedbacks of prices on returns and volatility, we develop a new methodology to test how this model classifies 9 time series that have been previously considered as bubbles ending in crashes. The model predicts the existence of two anomalous behaviors occurring simultaneou...