Testing for rational bubbles with exogenous or endogenous fundamentals: The German hyperinflation once more
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Economic policy uncertainty exposure and stock price bubbles: Evidence from China
2021, International Review of Financial AnalysisCitation Excerpt :Therefore, to reduce the huge fluctuation of the market and protect the interests of investors, it is of crucial to examine the factors affecting stock price bubbles (Bernanke, 2002). Literature examines possible determinants that affect bubbles from the micro aspects such as information asymmetry (Allen & Gorton, 1993), noisy trading (DeLong, Shleifer, Summers, & Waldmann, 1990; Tan, Jin, & Wu, 2015), heterogeneous beliefs (Niu, Wu, Ling, & Zhou, 2018), overconfidence (Michailova & Schmidt, 2016; Scheinkman & Xiong, 2003), and the macro aspects such as inflation (Casella, 1989) and bank credit (Allen & Gale, 2000).1 Different from previous studies, this paper examines the impact of firms' heterogeneous economic policy uncertainty exposure on the stock price bubbles.
On the performance of West's bubble test: A simulation approach
2010, Applied Mathematics and ComputationMisspecification versus bubbles in hyperinflation data: Comment
2003, Journal of International Money and FinanceMisspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence
2000, Journal of International Money and FinanceCitation Excerpt :By contrast, the discount factor for monthly data is near unity in most finance and macroeconomics applications. The tests outlined above were designed to combine the insights of Hall (1978), that models with expectations yield orthogonality conditions which can be used as specification tests, and of West (1987) and Casella (1989), that a comparison of the general and fundamental solutions could yield a test for bubbles. Durlauf and Hall (1989) demonstrated how to extract estimates of model noise in the exact case, and showed that the variance of the noise series defines a lower bound that may be used in “variance bounds” tests.
Government expenditure and the dynamics of high inflation
1999, Journal of Development EconomicsRuling out speculative hyperinflations: The role of the government
1996, Journal of Economic Dynamics and Control
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I thank Oliver Blanchard, Rudi Dornbusch, Jim Powell, Mike Whinston, Jeff Wooldridge, an anonymous referee, the editors of this journal, and especially Jonathan Feinstein and Danny Quah for many helpful comments. Financial support from the Social Sciences Research Council is gratefully acknowledged.