Econometric Tests of Asset Price Bubbles: Taking Stock

Refet Gürkaynak

Finance from University Library of Munich, Germany

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
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Citations: View citations in EconPapers (15)

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

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