A MODEL OF FORMATION OF ASSET BEUBBLES

Kosrow Dehnad ()
Additional contact information
Kosrow Dehnad: COLUMBIA UNIVERSITY/SAMBA FINANCIAL GROUP, Postal: Columbia University in the City of New York60, Mudd Building, IEOR Department,, 2960 Broadway, New York, NY 10027-6902

Journal of Financial Transformation, 2010, vol. 29, 95-98

Abstract: A non-stationary time series is derived to describe the process of the formation of asset bubbles. The model is based on leverage and easy credit: the root cause of all financial bubbles. The discrete version of the model is used to present the intuition behind the approach and discuss its policy implications. A simple numerical example that models housing bubbles is used to illustrate the ease of implementing such models in practice using a spreadsheet. The final section presents the continuous time version of the model.

Keywords: Asset Bubbles; Housing Bubbles; Bursting of Asset Bubbles; Leverage; Credit; Cost of Fund; Volatility Non Stationary; Policy Implication; Investment; Return (search for similar items in EconPapers)
JEL-codes: C53 (search for similar items in EconPapers)
Date: 2010
References: Add references at CitEc
Citations:

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
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: https://EconPapers.repec.org/RePEc:ris:jofitr:1423

Access Statistics for this article

Journal of Financial Transformation is currently edited by Prof. Shahin Shojai

More articles in Journal of Financial Transformation from Capco Institute 77 Water Street, 10th Floor, New York NY 10005.
Bibliographic data for series maintained by Prof. Shahin Shojai ( this e-mail address is bad, please contact ).