Arbeitspapier
Signaling asset price bubbles with time-series methods
This paper provides an early warning indicator for bubbles in financial markets. The indicator is based on traditional unit root tests, more precisely on the augmented Dickey-Fuller test and may be used in a repeated manner with rolling samples. The performance of the indicator is tested extensively via Monte Carlo simulations and comparisons of the results with the most powerful standard (stability) tests. The new indicator seems to be more robust and to have more power than the standard tests. In empirical application to US stock market data for 1871-2010, the new indicator signals most of the consensus bubbles and gives warning signals well ahead of the crash, in most cases as early as 12 months ahead. The indicator also signals most of the 'negative bubbles' before their turning points. The author would like to thank Matti Viren, Esa Jokivuolle, Jouko Vilmunen, Pentti Saikkonen, Heikki Kauppi and Ari Hyytinen for their comments at various stages of this work. I would also like to thank Nina Björklund and Tarja Yrjölä for research assistance.
- Sprache
-
Englisch
- ISBN
-
978-952-462-790-0
- Erschienen in
-
Series: Bank of Finland Research Discussion Papers ; No. 7/2012
- Klassifikation
-
Wirtschaft
Asset Pricing; Trading Volume; Bond Interest Rates
Statistical Simulation Methods: General
Financial Crises
- Thema
-
asset prices
financial crises
bubble
indicator
unit-root
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Taipalus, Katja
- Ereignis
-
Veröffentlichung
- (wer)
-
Bank of Finland
- (wo)
-
Helsinki
- (wann)
-
2012
- Handle
- Letzte Aktualisierung
-
20.09.2024, 08:25 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Taipalus, Katja
- Bank of Finland
Entstanden
- 2012
Ähnliche Objekte (12)
Detecting asset price bubbles with time-series methods
Bubbles in the Finnish and US equities markets
Factors affecting asset price expectations: Fundamentals and policy
Consumption and uncertain access to the asset market
Studies in time series analysis of consumption, asset prices and forecasting
Conditional betas and the price of risk in a thin asset market: A sensitivity analysis
Euroopan yhdentymisen taloudelliset vaikutukset: mitä tutkimukset kertovat
Geoeconomic fragmentation, globalization, and multilateralism
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Conditional risk and predictability of Finnish stock returns
Johdannaismarkkinoiden toiminta ja riskit
Dynamics of inflation expectations in the euro area
Detecting asset price bubbles with time-series methods
Bubbles in the Finnish and US equities markets
Factors affecting asset price expectations: Fundamentals and policy
Consumption and uncertain access to the asset market
Studies in time series analysis of consumption, asset prices and forecasting
Conditional betas and the price of risk in a thin asset market: A sensitivity analysis
Euroopan yhdentymisen taloudelliset vaikutukset: mitä tutkimukset kertovat
Geoeconomic fragmentation, globalization, and multilateralism
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Conditional risk and predictability of Finnish stock returns
Johdannaismarkkinoiden toiminta ja riskit
Dynamics of inflation expectations in the euro area
Detecting asset price bubbles with time-series methods
Bubbles in the Finnish and US equities markets
Factors affecting asset price expectations: Fundamentals and policy
Consumption and uncertain access to the asset market
Studies in time series analysis of consumption, asset prices and forecasting
Conditional betas and the price of risk in a thin asset market: A sensitivity analysis
Euroopan yhdentymisen taloudelliset vaikutukset: mitä tutkimukset kertovat
Geoeconomic fragmentation, globalization, and multilateralism
Relevance of uncertainty on the volatility and trading volume in the US Treasury bond futures market
Conditional risk and predictability of Finnish stock returns
Johdannaismarkkinoiden toiminta ja riskit