dc.contributor.author |
Phillips, Peter |
en |
dc.contributor.author |
Wu, Y |
en |
dc.contributor.author |
Yu, J |
en |
dc.date.accessioned |
2012-01-18T23:18:51Z |
en |
dc.date.issued |
2011 |
en |
dc.identifier.citation |
International Economic Review 52(1):201-226 2011 |
en |
dc.identifier.issn |
0020-6598 |
en |
dc.identifier.uri |
http://hdl.handle.net/2292/10593 |
en |
dc.description.abstract |
A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the Nasdaq stock price index in the 1990s provides confirmation of explosiveness and date stamps the origination of financial exuberance to mid-1995, prior to the famous remark in December 1996 by Alan Greenspan about irrational exuberance in the financial market, thereby giving the remark empirical content. |
en |
dc.language |
EN |
en |
dc.publisher |
the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association |
en |
dc.relation.ispartofseries |
International Economic Review |
en |
dc.rights |
Items in ResearchSpace are protected by copyright, with all rights reserved, unless otherwise indicated. Previously published items are made available in accordance with the copyright policy of the publisher. Details obtained from http://www.sherpa.ac.uk/romeo/issn/0020-6598/ |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
en |
dc.subject |
TIME-SERIES REGRESSION |
en |
dc.subject |
STOCK-PRICE VOLATILITY |
en |
dc.subject |
UNIT-ROOT |
en |
dc.subject |
SPECULATIVE BUBBLES |
en |
dc.subject |
RATIONAL BUBBLES |
en |
dc.subject |
MODELS |
en |
dc.subject |
TESTS |
en |
dc.subject |
MARKET |
en |
dc.subject |
EXPECTATIONS |
en |
dc.subject |
BIAS |
en |
dc.title |
Explosive Behavior In The 1990S Nasdaq: When Did Exuberance Escalate Asset Values? |
en |
dc.type |
Journal Article |
en |
dc.identifier.doi |
10.1111/j.1468-2354.2010.00625.x |
en |
pubs.issue |
1 |
en |
pubs.begin-page |
201 |
en |
pubs.volume |
52 |
en |
dc.rights.holder |
Copyright: the Economics Department of the University of Pennsylvania and the Osaka University Institute of Social and Economic Research Association |
en |
pubs.end-page |
226 |
en |
dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.subtype |
Article |
en |
pubs.elements-id |
257320 |
en |
pubs.org-id |
Business and Economics |
en |
pubs.org-id |
Economics |
en |
dc.identifier.eissn |
1468-2354 |
en |
pubs.record-created-at-source-date |
2012-01-19 |
en |