Applying a New Bubble Test for a Composite Indicator

• Autorzy: Dieter Gerdesmeier , Hans-Eggert Reimers , Barbara Roffia
• Języki publikacji: EN

Abstrakty

EN

The paper applies a new bubble test checking the explosiveness of asset prices, especially real stock prices, real house prices and a combination of these prices. In this study, a sample of 17 OECD industrialised countries and the euro area over the period 1969 Q1 - 2010 Q2 is investigated. The authors carry out recursive unit root to determine the beginning and the end of a period of bubble behaviour. The new test procedure finds evidence for rejecting the non-bubble hypothesis. Particularly the composite indicator includes hints of bubble situations before the actual financial crisis.

Słowa kluczowe

EN

bubbles; explosive unit root test

• Wydawca: Sciendo
• Czasopismo: Folia Oeconomica Stetinensia
• Rocznik: 2010
• Tom: 9
• Numer: 1
• Strony: 1-23

Daty

wydano

2010-01-01

online

2011-12-21

Twórcy

autor

Dieter Gerdesmeier

• European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

autor

Hans-Eggert Reimers

• Hochschule Wismar, Postfach 1210, 23952 Wismar

autor

Barbara Roffia

• European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

Bibliografia

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Identyfikatory

DOI

10.2478/v10031-010-0013-7