Real time monitoring of asset markets: Bubbles and crises

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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 en
dc.identifier.isbn 9780128202500 en
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 en
dc.title Real time monitoring of asset markets: Bubbles and crises en
dc.type Book Item en
dc.identifier.doi 10.1016/bs.host.2018.12.002 en
pubs.begin-page 61 en
pubs.volume 42 en
dc.rights.holder Copyright: The author en
pubs.end-page 80 en
pubs.publication-status Published en
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


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