Econometric Tests of Asset Price Bubbles: Taking Stock

Refet S. Gürkaynak

Finance from EconWPA

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.

JEL-codes: G (search for similar items in EconPapers)
Date: 2005-04-07
Note: Type of Document - pdf
View list of references View citations in EconPapers

Downloads: (external link)
http://129.3.20.41/eps/fin/papers/0504/0504008.pdf (application/pdf)

Related works:
Working Paper: Econometric tests of asset price bubbles: taking stock (2005)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0504008

Access Statistics for this paper

More papers in Finance from EconWPA
Series data maintained by EconWPA ().