Essays about: "Asset price bubbles"

Showing result 6 - 10 of 12 essays containing the words Asset price bubbles.

  1. 6. Identifying asset pricing bubbles: Testing for explosive behavior in the NASDAQ and STOXX 600 Europe Technology indices

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Tim Smits Van Oyen; Mathias Elmer; [2016]
    Keywords : Asset pricing bubble; explosive behavior; right-tailed ADF; forward recursive regression; Business and Economics;

    Abstract : A forward recursive estimation method is used to examine stock market data on unit root against explosive behavior as an indication of financial exuberance. Through specific dividend-stock pricing modeling, the recursive implementation of a right-tailed ADF test allows for directly testing the price index series on explosive behavior and its corresponding dividend series on non-explosive behavior. READ MORE

  3. 7. The Predictability of Speculative Bubbles : An examination of the log-periodic power law model

    University essay from Linköpings universitet/Nationalekonomi; Linköpings universitet/Filosofiska fakulteten

    Author : Marcus Gustavsson; Daniel Levén; [2015]
    Keywords : Econophysics; mathematical finance; LPPL; log-periodic power law model; JLS-model; power law; speculative bubbles; bubble forecasting; modeling asset price dynamics; financial bubbles; bubbles; crashes;

    Abstract : In this thesis we examine the ability of the log-periodic power law model to accurately predict the end of speculative bubbles on financial markets through modeling of asset price dynamics on a selection of historical bubbles. The methods we use are based on a nonlinear least squares estimation which yields predictions of when the bubble will change regime. READ MORE

  4. 8. Has the Riksbank Been Reacting to Asset Prices?

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Scott Sutherland; [2015]
    Keywords : Business and Economics;

    Abstract : This study analyses the interest rate setting policy of the Swedish central bank, the Riksbank. In particular, the paper addresses whether or not the Riksbank reacts to deviations in asset prices from trend levels when setting interest rates. READ MORE

  5. 9. Beyond the "Asian Flu". "Asia-vu"? Internal and External Risks for The Economy of Indonesia. Asset Price Bubbles and Contagion

    University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

    Author : Nikolay Antonov; Todor Sapunarov; [2014]
    Keywords : Bubbles; Contagion; Indonesia; Kalman filter; Bubbagion Index ;

    Abstract : Asset price bubbles and cross-country contagion, embodying an economy's domestic and foreign risks respectively, are two topical issues in finance. Indonesia, a fast-growing emerging market economy, and one of the world's volatile "Fragile Five", is a prime suspect for a country that is likely to exhibit vulnerabilities to both bubbles and contagion. READ MORE

  6. 10. What to pour in the punch bowl? Central banks and asset prices

    University essay from Handelshögskolan i Stockholm/Institutionen för nationalekonomi

    Author : Pär Holmbäck; [2011]
    Keywords : Monetary policy; Asset price bubbles; Jackson Hole Consensus; Leaning against the wind; Macroprudential policy;

    Abstract : Until the financial crisis of 2008-09, asset prices played a secondary role in monetary policy. The mainstream view was that they should only be accounted for to the extent they affected the inflation forecast. READ MORE