ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK *

Refet S. Gürkaynak

Journal of Economic Surveys, 2008, vol. 22, issue 1, pages 166-186

Abstract: Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time-varying or regime-switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved. Copyright 2008 The Author Journal compilation © 2008 Blackwell Publishing Ltd.

Date: 2008

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