Rational Bubbles de Matthias Salge

Rational Bubbles: Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market: Lecture Notes in Economics and Mathematical Systems, cartea 451

Matthias Salge

en Limba Engleză Paperback – 23 mai 1997

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. . . . . . . . . . . . . . .

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Cuprins

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.