We estimate the dynamics of a speculative bubble subject to surviving and collapsing regime together with dividends returns in tractable state space specification present-value model. To this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler simulate from joint posterior distribution. find that real-world stock price bubbles show significant Markov-switching s...

Asset pricing formulas generated from representative agent models help in computing the fundamental values of assets that investors plan to hold forever. In contrast, in an economy with heterogeneous agents and active trading, stock prices will persistently deviate from the expected fundamental value even without introducing any explosive bubbles. Particularly, the introduction of heterogeneous...

We consider an evolution non-local free boundary problem that arises in the modelling of speculative bubbles. The solution of the model is the speculative component in the price of an asset. In the framework of viscosity solutions, we show the existence and uniqueness of the solution. We also show that the solution is convex in space, and establish several monotonicity properties of the solutio...

Prior studies have shown that traders quickly converge to the price-quantity equilibrium in markets for goods that are immediately consumed, but they produce speculative price bubbles in resalable asset markets. We present a stock-flow model of durable assets in which the existing stock of assets is subject to depreciation and producers may produce additional units of the asset. In our laborato...

The aim of this article is to study infinite games and to prove formally properties in this framework. In particular, we show that the behavior which leads to speculative crashes or escalation is rational. Indeed it proceeds logically from the statement that resources are infinite. The reasoning is based on the concept of coinduction conceived by computer scientists to model infinite computatio...

Abstract Most people consider financial bubbles as the result of speculations and manipulations, that less them will make a market economy more efficient. While speculative no doubt increase risks uncertainties investors, there are many episodes in human civilization where commensurate with real positive contribution to development an economy. This paper analyzes this issue from theoretical per...