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Market Volatility

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Author Info

  • Robert J. Shiller

    ()
    (Yale University)

Abstract

Market Volatility proposes an innovative theory, backed by substantial statistical evidence, on the causes of price fluctuations in speculative markets. It challenges the standard efficient-markets model for explaining asset prices by emphasizing the significant role that popular opinion or psychology can play in price volatility. Offering detailed analyses of the stock, the bond, and the real estate markets, Shiller discusses the relations of these speculative prices and extends the analysis of speculative markets to macroeconomic activity in general.

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Bibliographic Info

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This book is provided by The MIT Press in its series MIT Press Books with number 0262691515 and published in 1992.

Volume: 1
Edition: 1
ISBN: 0-262-69151-5
Handle: RePEc:mtp:titles:0262691515

Contact details of provider:
Web page: http://mitpress.mit.edu

Related research

Keywords: price volatility; speculative markets; efficient-markets model;

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Cited by:
  1. Bernstein, Asaf & Hughson, Eric & Weidenmier, Marc D., 2010. "Identifying the effects of a lender of last resort on financial markets: Lessons from the founding of the fed," Journal of Financial Economics, Elsevier, vol. 98(1), pages 40-53, October.
  2. Jeffrey LaFrance & Rulon Pope & Richard Just, 2008. "Agricultural Arbitrage and Risk Preferences," Working Papers 2009-01, School of Economic Sciences, Washington State University.
  3. James Crotty, 2011. "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," Working Papers wp255, Political Economy Research Institute, University of Massachusetts at Amherst.
  4. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc.
  5. repec:eme:qrfmpp:v:3:y:2011:i:2:p:26-35 is not listed on IDEAS
  6. Xiaoliang Liu & Guenther Filler & Martin Odening, 2013. "Testing for speculative bubbles in agricultural commodity prices: a regime switching approach," Agricultural Finance Review, Emerald Group Publishing, vol. 73(1), pages 179-200, April.
  7. Oliver D. Bunn & Robert J. Shiller, . "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers 1950, Cowles Foundation for Research in Economics, Yale University.

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