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Asset Price Bubbles and Systemic Risk
Brunnermeier, Markus K. - 2019
We analyze the relationship between asset price bubbles and systemic risk, using bank-level data covering almost thirty …
Persistent link: https://www.econbiz.de/10012479725
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Bubbles, Food Prices, and Speculation : Evidence from the CFTC's Daily Large Trader Data Files
Aulerich, Nicole M. - 2013
financial index investment in recent years did not cause massive bubbles in agricultural futures prices …
Persistent link: https://www.econbiz.de/10012459596
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New Evidence on the First Financial Bubble
Frehen, Rik G.P. - 2009
these linked bubbles primarily focus on the irrationality of investor speculation and the corresponding stock price behavior … examine a broad cross-section of security price data to evaluate the causes of the bubbles. Using newly collected stock prices … in 1720. Our findings are consistent with the hypothesis that financial bubbles require a plausible story to justify …
Persistent link: https://www.econbiz.de/10012463318
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Assessing High House Prices : Bubbles, Fundamentals, and Misperceptions
Himmelberg, Charles - 2005
We construct measures of the annual cost of single-family housing for 46 metropolitan areas in the United States over the last 25 years and compare them with local rents and incomes as a way of judging the level of housing prices. Conventional metrics like the growth rate of house prices, the...
Persistent link: https://www.econbiz.de/10012467034
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Retirement and the Stock Market Bubble
Gustman, Alan L. - 2002
This paper specifies and estimates a structural dynamic stochastic model of the way individuals make retirement and saving choices in an uncertain world, and applies that model to analyze the effects of the stock market bubble on retirement behavior. The model includes individual variation both...
Persistent link: https://www.econbiz.de/10012469299
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Speculative Fever : Investor Contagion in the Housing Bubble
Bayer, Patrick - 2016
, abound. While the role of investor contagion in asset bubbles has been explored extensively in the theoretical literature …
Persistent link: https://www.econbiz.de/10012456609
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A Relationship Between Regression Tests and Volatility Tests of Market ncy
Frankel, Jeffrey A. - 1983
Volatility tests are an alternative to regression tests for evaluating the joint null hypothesis of market efficiency and risk neutrality. Acomparison of the power of the two kinds of tests depends on what the alternative hypothesis is taken to be. By considering tests based on conditional...
Persistent link: https://www.econbiz.de/10012477997
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Expectations Hypotheses Tests
Bekaert, Geert - 2000
We investigate the Expectations Hypotheses of the term structure of interest rates and of the foreign exchange market using vector autoregressive methods for the U.S. dollar, Deutsche mark, and British pound interest rates and exchange rates. In addition to standard Wald tests, we formulate...
Persistent link: https://www.econbiz.de/10012471161
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Evidence on Rationality in Commercial Property Markets : An Interpretation and Critique
Hendershott, Patric - 2005
Periodic sharp sustained increases and then reversals in asset prices lead many to posit irrational price bubbles. The …
Persistent link: https://www.econbiz.de/10012467354
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Long-run Bulls and Bears
Albuquerque, Rui - 2015
A central challenge in asset pricing is the weak connection between stock returns and observable economic fundamentals. We provide evidence that this connection is stronger than previously thought. We use a modified version of the Bry-Boschan algorithm to identify long-run swings in the stock...
Persistent link: https://www.econbiz.de/10012457808