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Le marché de l’or et les bulles rationnelles

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  • Ithurbide, Philippe

    (L.A.R.E. Université de Bordeaux I)

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    Abstract

    The purpose of this paper is to verify the existence of a rational bubble in the gold market during the beginning of 1980. After exposing the theoretical framework of this concept and its condition of appearance, a simple model of determination of the price of gold is proposed; this model emphasizes two components: a fundamental component and another one which represents a deterministic bubble and a stochastic bubble. A reduced form of this model is then tested; the results (inefficiency of the market during this period, significative break of the trend, existence of abnormal opportunities of return) confirm the presence of a rational stochastic bubble from December 7th, 1979, to January 20th, 1980. Une des raisons avancées pour expliquer l’évolution du cours de l’once d’or au début de 1980 est que le marché de l’or aurait connu ce qu’il est convenu d’appeler une « bulle rationnelle ». Cet article a pour objet de vérifier ce point de vue. Après avoir rappelé le contenu théorique de ce concept, ainsi que les conditions d’apparition d’un tel phénomène, le développement d’un modèle permet de préciser, non seulement la composante fondamentale du cours de l’or, mais également sa composante correspondante, d’une part à une bulle déterministe, et d’autre part à une bulle stochastique. Une forme réduite de ce modèle est ensuite testée (à l’aide de cotations journalières) : les résultats montrent de façon non ambiguë que la période allant du 7 décembre 1979 au 20 janvier 1980 doit être considérée comme une période atypique : rupture significative (sur un plan statistique) de tendance, inefficience du marché de l’or, opportunités anormales de profit… Toutes ces conclusions tendent à confirmer la présence effective d’une bulle rationnelle stochastique au cours de cette période.

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    Bibliographic Info

    Article provided by Société Canadienne de Science Economique in its journal L'Actualité économique.

    Volume (Year): 63 (1987)
    Issue (Month): 4 (décembre)
    Pages: 331-356

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    Handle: RePEc:ris:actuec:v:63:y:1987:i:4:p:331-356

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    1. Sanford J. Grossman & Robert J. Shiller, 1980. "The Determinants of the Variability of Stock Market Prices," NBER Working Papers 0564, National Bureau of Economic Research, Inc.
    2. Taylor, John B, 1977. "Conditions for Unique Solutions in Stochastic Macroeconomic Models with Rational Expectations," Econometrica, Econometric Society, vol. 45(6), pages 1377-85, September.
    3. Flood, Robert P. & Garber, Peter M. & Scott, Louis O., 1984. "Multi-country tests for price level bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 8(3), pages 329-340, December.
    4. Robert J. Shiller, 1980. "Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends?," NBER Working Papers 0456, National Bureau of Economic Research, Inc.
    5. Diba, Behzad T. & Grossman, Herschel I., 1988. "Rational inflationary bubbles," Journal of Monetary Economics, Elsevier, vol. 21(1), pages 35-46, January.
    6. Isaac, Alan G., 1986. "Bursting bubbles: Further results," Journal of Monetary Economics, Elsevier, vol. 17(3), pages 425-431, May.
    7. LeRoy, Stephen F & Porter, Richard D, 1981. "The Present-Value Relation: Tests Based on Implied Variance Bounds," Econometrica, Econometric Society, vol. 49(3), pages 555-74, May.
    8. Solow, Robert M, 1974. "The Economics of Resources or the Resources of Economics," American Economic Review, American Economic Association, vol. 64(2), pages 1-14, May.
    9. Eduardo R. Borensztein, 1987. "Alternative Hypotheses about the Excess Return on Dollar Assets, 1980-84 (Hypothèses formulées pour expliquer la rentabilité excédentaire des actifs libellés en dollars E.U., 1980-84) (," IMF Staff Papers, Palgrave Macmillan, vol. 34(1), pages 29-59, March.
    10. Behzad T. Diba & Herschel I. Grossman, 1984. "Rational Bubbles in the Price of Gold," NBER Working Papers 1300, National Bureau of Economic Research, Inc.
    11. Woo, Wing Thye, 1987. "Some Evidence of Speculative Bubbles in the Foreign Exchange Markets," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 19(4), pages 499-514, November.
    12. Meese, Richard A, 1986. "Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?," Journal of Political Economy, University of Chicago Press, vol. 94(2), pages 345-73, April.
    13. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, vol. 88(4), pages 745-70, August.
    14. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
    15. Obstfeld, Maurice & Rogoff, Kenneth, 1986. "Ruling out divergent speculative bubbles," Journal of Monetary Economics, Elsevier, vol. 17(3), pages 349-362, May.
    16. Paul A. Samuelson, 1958. "An Exact Consumption-Loan Model of Interest with or without the Social Contrivance of Money," Journal of Political Economy, University of Chicago Press, vol. 66, pages 467.
    17. Salant, Stephen W & Henderson, Dale W, 1978. "Market Anticipations of Government Policies and the Price of Gold," Journal of Political Economy, University of Chicago Press, vol. 86(4), pages 627-48, August.
    18. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
    19. Stephen W. Salant & Dale W. Henderson, 1976. "Market anticipations, government policy, and the price of gold," International Finance Discussion Papers 81, Board of Governors of the Federal Reserve System (U.S.).
    20. Tirole, Jean, 1982. "On the Possibility of Speculation under Rational Expectations," Econometrica, Econometric Society, vol. 50(5), pages 1163-81, September.
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