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Rational bubbles : theoretical basis, economic relevance, and empirical evidence with a special emphasis on the German stock market

Author: Matthias Salge
Publisher: Berlin ; New York : Springer, ©1997.
Series: Lecture notes in economics and mathematical systems, 451.
Edition/Format:   Print book : EnglishView all editions and formats
Summary:

1 Capital markets . . 3 Economic caveats . 1 Indirect tests . 2 Specification tests . 4 Final assessment of indirect tests . 2 Direct tests . 3 An econometric caveat . 1 Data . 2 Temporary intrinsic  Read more...

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Material Type: Internet resource
Document Type: Book, Internet Resource
All Authors / Contributors: Matthias Salge
ISBN: 3540626298 9783540626299
OCLC Number: 36461603
Description: ix, 264 pages ; 24 cm.
Contents: 1 Introduction.- 2 On the Theoretical Derivability of Rational Bubbles.- 2.1 Statistical framework.- 2.2 Rational expectations.- 2.3 Solution procedure.- 2.3.1 Particular solution.- 2.3.1.1 Forward and backward solution.- 2.3.1.2 Explicit particular solutions.- 2.3.1.3 Summary.- 2.3.2 General solution.- 2.4 Bubble processes.- 2.4.1 Markovian bubbles.- 2.4.1.1 Deterministic bubble.- 2.4.1.2 Near random walk bubble.- 2.4.1.3 Bursting bubble.- 2.4.2 Intrinsic bubbles.- 2.4.2.1 Fundamentals as a random walk.- 2.4.2.2 Fundamentals as ARMA-processes.- 2.4.3 Extrinsic bubbles.- 2.4.4 Theoretical caveats.- 2.4.5 Summary.- 3 On the Economic Relevance of Rational Bubbles.- 3.1 Capital markets.- 3.1.1 Efficient capital markets.- 3.1.2 Rational bubbles on capital markets.- 3.1.3 Economic caveats.- 3.2 Foreign exchange markets.- 3.3 Hyperinflation.- 4 On Testing for Rational Bubbles.- 4.1 Indirect tests.- 4.1.1 Variance bounds tests.- 4.1.2 Specification tests.- 4.1.3 Integration and cointegration tests.- 4.1.4 Final assessment of indirect tests.- 4.1.5 A digression: Charemza, Deadman (1995) analysis.- 4.2 Direct tests.- 4.2.1 Deterministic bubble in German hyperinflation.- 4.2.2 Intrinsic bubbles on stock markets.- 4.2.3 An econometric caveat.- 4.2.4 Final assessment of 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.- 5.2.1 Temporary Markovian bubbles.- 5.2.2 Temporary intrinsic bubbles.- 5.2.3 Permanent intrinsic 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.
Series Title: Lecture notes in economics and mathematical systems, 451.
Responsibility: Matthias Salge.
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