Matthias Salge

Rational Bubbles

Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market

• Broschiertes Buch

Produktbeschreibung

This book evaluates formally the theory of rational bubbles. A general procedure for deriving rational bubbles is provided in the first part of the book. All bubble processes discussed in literature so far could be obtained by the procedure presented. Furthermore, the set of bubble processes has been extended significantly. After presenting the most important applications various approaches of testing for rational bubbles are summarized. Finally, a so called direct test for the existence of some previously obtained new bubble processes on the German Stock market is carried out. It became evident that the movement of stock prices, in particular during 1985 - 1987 and at the beginning of 1990s, could be well explained by the existence of rational bubbles, at least when stock indexes were used.

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3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperinflation. . . . . . . 117 4 On Testing for Rational Bubbles 123 4. 1 Indirect tests . . . . . . . . . 123 4. 1. 1 Variance bounds tests 124 4. 1. 2 Specification tests . . . 137 4. 1. 3 Integration and cointegration tests 140 4. 1. 4 Final assessment of indirect tests . 150 4. 1. 5 A digression: Charemza, Deadman (1995) analysis. 151 4. 2 Direct tests . . . . . . . . . . . . . . . . . . . . . . . . 157 4. 2. 1 Deterministic bubble in German hyperinflation. 158 4. 2. 2 Intrinsic bubbles on stock markets. 163 4. 2. 3 An econometric caveat . . . . . 168 4. 2. 4 Final assessment of direct tests 172 5 On the Explanatory Power of Rational Bubbles on the G- man Stock Market 175 5. 1 Data . . . . . . . 175 5. 2 Direct test for rational bubbles 181 5. 2. 1 Temporary Markovian bubbles. 184 5. 2. 2 Temporary intrinsic bubbles . . 193 ix 5. 2. 3 Permanent intrinsic bubbles 198 5. 3 A digression: Testing for unit roots 204 6 Concluding Remarks 215 A Results 221 A. 1 Temporary markovian bubbles. 221 A. 2 Temporary intrinsic bubbles . . 225 A. 3 Permanent intrinsic bubbles - Class 1 to 2 229 A. 4 Permanent intrinsic bubbles - Class 3 to 6 230 A. 5 Integration tests. . . . . . . . . . . . . . .

Produktdetails

• Lecture Notes in Economics and Mathematical Systems 451
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-62629-9
• 1997.
• Seitenzahl: 276
• Erscheinungstermin: 23. Mai 1997
• Englisch
• Abmessung: 235mm x 155mm x 16mm
• Gewicht: 358g
• ISBN-13: 9783540626299
• ISBN-10: 3540626298
• Artikelnr.: 09219440

Inhaltsangabe

1 Introduction.- 2 On the Theoretical Derivability of Rational Bubbles.- 2.1 Statistical framework.- 2.2 Rational expectations.- 2.3 Solution procedure.- 2.4 Bubble processes.- 3 On the Economic Relevance of Rational Bubbles.- 3.1 Capital markets.- 3.2 Foreign exchange markets.- 3.3 Hyperinflation.- 4 On Testing for Rational Bubbles.- 4.1 Indirect tests.- 4.2 Direct tests.- 5 On the Explanatory Power of Rational Bubbles on the German Stock Market.- 5.1 Data.- 5.2 Direct test for rational bubbles.- 5.3 A digression: Testing for unit roots.- 6 Concluding Remarks.- A Results.- A.1 Temporary markovian bubbles.- A.2 Temporary intrinsic bubbles.- A.3 Permanent intrinsic bubbles - Class 1 to 2.- A.4 Permanent intrinsic bubbles - Class 3 to 6.- A.5 Integration tests.- A.5.1 Preliminary regression of endogenous processes.- A.5.2 Preliminary regression of exogenous processes.- A.5.3 Testing for unit roots in levels.- A.5.4 Testing for unit roots in logs.- B Distributional Properties and Critical Values.- B.1 Distributional properties of t-statistics.- B.2 Critical values of t-statistics.- List of Figures.- List of Tables.