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On Testing for Speculative Bubbles
Abstract
The possibility that movements in prices could be due to the self-fulfilling prophecies of market participants has long intrigued observers of free markets. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies, by which we mean a situation of self-fulfilling prophecy within a rational expectations model. Empirical work in this area concentrates primarily on indeterminacies in price levels, exchange rates, and equity prices. We first examine a particular type of explosive indeterminacy, usually called a rational bubble, in an example of the market for equities. Then, we consider empirical work relating to price-level and exchange-rate indeterminacies and empirical studies of indeterminacies in stock prices. Finally, we take up some interpretive issues.
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Citations
Cites
Specification Tests in Econometrics
Hausman, J. A. (1978) · Econometrica · doi:10.2307/1913827 · Cited by 18,820
Cited by
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Chen, J., Hong, H., & Stein, J. C. (2001) · Journal of Financial Economics · doi:10.1016/s0304-405x(01)00066-6 · Cited by 1,907
The Gold Standard as a “Good Housekeeping Seal of Approval”
Bordo, M. D., & Rockoff, H. (1996) · The Journal of Economic History · doi:10.1017/s0022050700016491 · Cited by 518
Evaluating conditions in major Chinese housing markets
Wu, J., Gyourko, J., & Deng, Y. (2012) · Regional Science and Urban Economics · doi:10.1016/j.regsciurbeco.2011.03.003 · Cited by 435
Metadata
- Authors
- Flood, R. P., & Hodrick, R. J.
- Venue
- Journal of Economic Perspectives
- Publisher
- American Economic Association
- Published
- 1990-05-01
- Volume
- 4
- Issue
- 2
- Pages
- 85-101
- ISSN
- 0895-3309 (ISSN-L)
- OpenAlex
- W1980585207
- Cited by
- 384
- References
- 1
- FWCI
- 26.52
- Type
- journal article
- Language
- en
- Open access
- closed
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- Flood, R. P., & Hodrick, R. J. (1990). On Testing for Speculative Bubbles. Journal of Economic Perspectives. https://doi.org/10.1257/jep.4.2.85
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