The 1980s Price Bubble on (Post) Impressionism
AbstractThe Log Periodic Power Law is a model used to define and measure speculative bubbles. This model has proven useful to track bubbles and even predict crashes of liquid asset classes. Using this methodology coupled with properties of cointegration between stocks and art, the 1980s price bubble on Impressionism and Post-Impressionism is analyzed. It is shown formally that there was a bubble in this market between 1986 and 1989. However, when denominating the art index in JPY rather than in USD, no price bubble behaviour was found at all. This observation suggests that Japanese buyers never felt that they were riding a bubble. Despite popular beliefs, no evidence is found that Japanese buyers viewed art as a speculative vehicle instead of a more classic consumption good that was related to their own cultural heritage.
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Bibliographic InfoPaper provided by the Association for Cultural Economics International in its series ACEI Working Paper Series with number AWP-03-2011.
Length: 37 pages
Date of creation: Nov 2011
Date of revision: Nov 2011
Impressionism; art market; hedonic regression; LPPL; bubble;
Find related papers by JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
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