We estimate three different models of speculative behaviour using oil price data. There are two major results: (i) The three-regime model of Brooks and Katsaris (2005) and a three-regime variant of van Norden and Schaller (2002) fit the oil price data reasonably well; and (ii) Both models show...

This paper investigates the existence of speculative bubbles in the US national and 21 regional housing markets over three decades (1978-2015). A new method for real-time monitoring exuberance in housing markets is proposed. By taking changes in the macroeconomic conditions (such as interest...

Housing fever is a popular term to describe an overheated housing market or housing price bubble. Like other financial asset bubbles, housing fever can inflict harm on the real economy, as indeed the US housing bubble did in the period following 2006 leading up to the general financial crisis...

We illustrate the importance of disaggregating electricity generation when considering responses to environmental policies. We begin by reviewing various approaches to electric sector modelling in Computable General Equilibrium (CGE) models, and then clarify and expand upon the structure and...

It is commonly understood that macroeconomic shocks influence commodity prices and that one channel for this is the link between interest rates, expected future asset returns and stockholding. In this paper the link is extended to the petroleum market with the recognition that recorded stocks of...

We show the importance of endogenous oil prices and production in the real business cycle framework. Endogenising these variables improves the model's predictions of business cycle statistics, oil related and non-oil related, relative to a situation where either is exogenous. This result is...

East Asian, and primarily Chinese and Japanese, excess saving has been comparatively large and controversial since the 1980s. That it has contributed to the decline in the global “natural” rate of interest is consistent with Bernanke's much debated “savings glut” hypothesis for the...