The last decade has witnessed different price trajectories in the international and Chinese agricultural commodity markets. This paper compares and contrasts these dynamic patterns between markets from the perspective of price bubbles. A newly developed right-tailed unit root testing procedure is applied to detect price bubbles in the CBOT and Chinese agricultural futures market during the peri...

We augment the existing literature using the Log-Periodic Power Law Singular (LPPLS) structures in the log-price dynamics to diagnose financial bubbles by providing three main innovations. First, we introduce the quantile regression to the LPPLS detection problem. This allows us to disentangle (at least partially) the genuine LPPLS signal and the a priori unknown complicated residuals. Second, ...

Abstract This paper investigates whether the Federal Reserve Bank (FED) reacted to asset price bubbles before Great Recession and this affected macroeconomic variables. We estimate a DSGE model featuring financial accelerator process for with different Taylor-rule specifications. find that feedback Tobin’s Q bubble shocks fits best. Our findings suggest FED followed cleaning rather than leaning...

We study and generalize in various ways the model of rational expectation (RE) bubbles introduced by Blanchard and Watson in the economic literature. Bubbles are argued to be the equivalent of Goldstone modes of the fundamental rational pricing equation, associated with the symmetry-breaking introduced by non-vanishing dividends. Generalizing bubbles in terms of multiplicative stochastic maps, ...

Following our previous investigation of the USA Standard and Poor index anti-bubble that started in August 2000, we analyze thirty eight world stock market indices and identify 21 anti-bubble. An “anti-bubble” is defined as a self-fulfilling decreasing price created by positive price-to-price feedbacks feeding overall pessimism and negative market sentiment further strengthened by inter-persona...

The log-periodic power law (LPPL) is a model of asset prices during endogenous bubbles. A major open issue is to verify the presence of LPPL in price sequences and to estimate the LPPL parameters. Estimation is complicated by the fact that daily LPPL returns are typically orders of magnitude smaller than measured price returns, suggesting that noise obscures the underlying LPPL dynamics. Howeve...

Keeping a basic tenet of economic theory, rational expectations, we model the nonlinear positive feedback between agents in the stock market as an interplay between nonlinearity and multiplicative noise. The derived hyperbolic stochastic finite-time singularity formula transforms a Gaussian white noise into a rich time series possessing all the stylized facts of empirical prices, as well as acc...

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...