Econometric tests of asset price bubbles:: Taking stock

被引：205
|
作者：
Gurkaynak, Refet S. [1 ]
机构：
[1] Bilkent Univ, Bilkent, Turkey
来源：
JOURNAL OF ECONOMIC SURVEYS | 2008年 / 22卷 / 01期
关键词：
bubbles; econometric tests; identification;
D O I：
10.1111/j.1467-6419.2007.00530.x
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
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.
引用
收藏
页码：166 / 186
页数：21
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