Econometric tests of asset price bubbles: taking stock

Refet Gürkaynak

No 2005-04, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

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.

Keywords: Stock - Prices; capital asset pricing model (search for similar items in EconPapers)
Date: 2005
New Economics Papers: this item is included in nep-fin
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Citations: View citations in EconPapers (62)

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Related works:
Journal Article: ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK (2008)
Working Paper: Econometric Tests of Asset Price Bubbles: Taking Stock (2005)
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