The Japanese economy changed its features in the 1990’s, compared with the 1980’s. It shifted down to an extremely lowered growth trend. Its continuous depression with economic difficulties has gathered international concern among the advanced countries. Among the major causes for such difficulties were clearly the swell of huge bubbles in speculative trading of shares and real estate in the la...

This paper studies sequence economies over an infinite horizon with general security structures. Assumptions are given under which a pseudo-equilibrium exists for all economies and an equilibrium exists for a dense set of (appropriately parameterized) economies. Under these assumptions the indebtedness of the agents in equilibrium can be limited either by an explicit bound on their debts or by ...

In this paper we adopt an engineering method based on Al-Anaswah and Wilfling, state space model with Markov-switching, to capture the speculative bubbles of stock markets in China and US. We present the VAR log linear asset pricing model in state space model with Markov-switching, so that we can capture the unobservable speculative bubbles. Based on the dataset from Stock markets in China and ...

We investigate the role played by the anchoring-and-adjustment heuristic in the speculative bubbles dynamics. In order to link anchoring bias and price deviations from fundamental value, we develop a stock market equilibrium model with heterogeneous investors: fundamental investor anchoring to past stock market prices and noise traders. The equilibrium model we derive suggests that price is a f...

Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This...

Economists have long conjectured that movements in stock prices may involve speculative bubbles. A speculative bubble is usually defined as the difference between the market value of a security and its fundamental value. Although there are several important theoretical issues surrounding the topic of asset bubbles, their existence is inherently an empirical issue that has not been settled. This...

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...