bootstrapping asset price bubbles

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1、EconomicModelling28(2011)2488–2493ContentslistsavailableatSciVerseScienceDirectEconomicModellingjournalhomepage:www.elsevier.com/locate/ecmodBootstrappingassetpricebubblesLucianoGutierrezDepartmentofEconomicsandWoodyPlantEcosystems,UniversityofSassari,ViaE.D

2、eNicola1,ItalyarticleinfoabstractArticlehistory:Inthispaperweproposeamethodthatallowstotestforassetpricebubbles.ThemethodismainlybasedonaAccepted15July2011bootstrapmethodologywhichhelpstocomputethefinitesampleprobabilitydistributionoftheasymptotictestswhichwe

3、rerecentlyproposedinPhillipsetal.(2011)andPhillipsandYu(2009).WeapplythemethodKeywords:totheNasdaqstockpriceindexandCase-Shillerhousepriceindex.TheresultsindicatethatspeculationwasRationalbubblesbehindtheupsurgeinbothassetprices.Bootstrap©2011ElsevierB.V.All

4、rightsreserved.Nonstationarytests1.Introductioncurrenthighpriceanequilibriumprice.ThevarianceboundstestsofShiller(1981)andLeRoyandPorter(1981);West'stestofbubblesInthelasttwodecadestheworldhasexperiencedsignificantand(1987,1988);theintegration-cointegrationba

5、sedtests,DibaandpersistentmovementsinassetpricesandtherecentfinancialturmoilGrossman(1988a,1988b)andEvans'(1991)criticisms,haveallin2007–2009hasrevitalizedthedisputeabouttheexistenceofassetaddressedtheproblemoftheeconometricdetectionofassetpricebubbles.Basica

6、lly,oneviewisthattheassetpricesreflecteconomicbubbles.Insynthesis,theresultsfromthesestudiesshowthatassetfundamentals;thatis,anassetpricesuchasastockisalwaysequaltopricebubblescannotbedetectedwithasatisfactorydegreeofcertainty.thepresentdiscountedvalueofitsdi

7、vidends,seeGarber(1990),Morerecently,Phillipsetal.(2011)andPhillipsandYu(2009)haveTirole(1982,1985)amongothers.Ifthisisthecase,abubblecannotproposedaforwardrecursiveprocedurethatallowsustocomputebeidentifiedbeforeitcollapses.Interestinglytheformerchairmanofri

8、ght-sideunitroottestforthenullhypothesisofanonstationarytheFederalReserveBoardAlanGreenspantookthislinewhenheprocessagainstthealternativeoftheexplosiveprocessthatusuallysaidthattheFederalReserve