dc.contributor.author |
Phillips, Peter |
en |
dc.contributor.author |
Shi, S |
en |
dc.date.accessioned |
2020-04-21T01:45:47Z |
en |
dc.date.issued |
2020-01-01 |
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dc.identifier.isbn |
9780128202500 |
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dc.identifier.uri |
http://hdl.handle.net/2292/50444 |
en |
dc.description.abstract |
© 2020 Elsevier B.V. While each financial crisis has its own characteristics there is now widespread recognition that crises arising from sources such as financial speculation and excessive credit creation do inflict harm on the real economy. Detecting speculative market conditions and ballooning credit risk in real time is therefore of prime importance in the complex exercises of market surveillance, risk management, and policy action. This chapter provides an R implementation of the popular real-time monitoring strategy proposed by Phillips et al. (2015a,b), along with a new bootstrap procedure designed to mitigate the potential impact of heteroskedasticity and to effect family-wise size control in recursive testing algorithms. This methodology has been shown effective for bubble and crisis detection (Phillips and Shi, 2017; Phillips et al. 2015a,b) and is now widely used by academic researchers, central bank economists, and fiscal regulators. We illustrate the effectiveness of this procedure with applications to the S&P financial market and the European sovereign debt sector. These applications are implemented using the psymonitor R package (Phillips et al., 2018) developed in conjunction with this chapter. |
en |
dc.relation.ispartof |
Handbook of Statistics |
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. |
en |
dc.rights.uri |
https://researchspace.auckland.ac.nz/docs/uoa-docs/rights.htm |
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dc.title |
Real time monitoring of asset markets: Bubbles and crises |
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dc.type |
Book Item |
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dc.identifier.doi |
10.1016/bs.host.2018.12.002 |
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pubs.begin-page |
61 |
en |
pubs.volume |
42 |
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dc.rights.holder |
Copyright: The author |
en |
pubs.end-page |
80 |
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pubs.publication-status |
Published |
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dc.rights.accessrights |
http://purl.org/eprint/accessRights/RestrictedAccess |
en |
pubs.elements-id |
764077 |
en |
pubs.org-id |
Business and Economics |
en |
pubs.org-id |
Economics |
en |