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Theoretical notes on bubbles and the current crisis

Martin, Alberto; Ventura, Jaume - 2011

We explore a view of the crisis as a shock to investor sentiment that led to the collapse of a bubble or pyramid scheme in financial markets. We embed this view in a standard model of the financial accelerator and explore its empirical and policy implications. In particular, we show how the...

Persistent link: https://www.econbiz.de/10011605394

Lessons from a small country in a financial crisis or Dr. Minsky and Mr. Ponzi in Iceland

Magnusson, Gylfi - 2010

Persistent link: https://www.econbiz.de/10014306488

On the power and weakness of rational expectations: Logical fallacies, periodic bubbles and business cycles

Gracia, Eduard - 2012

's q ratio displays regular cycles of bubbles and crashes reflecting an agency problem between investors and producers. The …

Persistent link: https://www.econbiz.de/10010309044

Addressing the psychology of financial markets

Tuckett, David - 2009

excitement of potential gain is disconnected from the anxiety of potential consequences; producing groupthink and bubbles. When …

Persistent link: https://www.econbiz.de/10010298825

Addressing the psychology of financial markets

Tuckett, David - In: Economics: The Open-Access, Open-Assessment E-Journal 3 (2009) 2009-40, pp. 1-22

excitement of potential gain is disconnected from anxiety about potential consequences, producing groupthink and bubbles. When …

Persistent link: https://www.econbiz.de/10010299495

A two-factor model for electricity prices with dynamic volatility

Schlüter, Stephan - 2009

The wavelet transform is used to identify a biannual and an annual seasonality in the Phelix Day Peak and to separate the long-term trend from its short-term motion. The short-term/long-term model for commodity prices of Schwartz & Smith (2000) is applied but generalised to account for weekly...

Persistent link: https://www.econbiz.de/10010299753

Using wavelets for time series forecasting: Does it pay off?

Schlüter, Stephan; Deuschle, Carola - 2010

characteristics. We find that wavelets do improve the forecasting quality. Depending on the data's characteristics and on the …

Persistent link: https://www.econbiz.de/10010300727

Analysis of the dynamics of Mexican inflation using wavelets

Ysusi, Carla - 2009

This paper studies the dynamics of Mexican inflation by using a wavelet multiresolution analysis on 16 indexes of the Mexican Consumer Price Index. This enables us to estimate the long-term trend, seasonality, and local shocks of the inflation series, even when the series are non-stationary. The...

Persistent link: https://www.econbiz.de/10010322616

Models with Time-varying Mean and Variance: A Robust Analysis of U.S. Industrial Production

Bos, Charles S.; Koopman, Siem Jan - 2010

Many seasonal macroeconomic time series are subject to changes in their means and variances over a long time horizon. In this paper we propose a general treatment for the modelling of time-varying features in economic time series. We show that time series models with mean and variance functions...

Persistent link: https://www.econbiz.de/10010326058

Asset Bubbles without Dividends - An Experiment

Oechssler, Jörg; Schmidt, Carsten; Schnedler, Wendelin - 2009

Bubbles in asset markets have been documented in numerous experimental studies. However, all experiments in which … bubbles occur pay dividends after each trading day. In this paper we study whether bubbles can occur in markets without … may have inside information, and (2) the option to communicate with other traders. We find that bubbles can indeed occur …

Persistent link: https://www.econbiz.de/10011422145