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Citations for "Speculative bubbles, crashes and rational expectations"

by Blanchard, Olivier Jean

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  1. Martin D.D. Evans & Richard K. Lyons, 1999. "Order Flow and Exchange Rate Dynamics," NBER Working Papers 7317, National Bureau of Economic Research, Inc.
  2. Robert P. Flood & Robert J. Hodrick, 1989. "Testable Implications of Indeterminacies in Models with Rational Expectations," NBER Working Papers 2903, National Bureau of Economic Research, Inc.
  3. repec:ebl:ecbull:v:7:y:2006:i:7:p:1-12 is not listed on IDEAS
  4. Simon van Norden & Huntley Schaller & ), 1995. "Fads or Bubbles?," Econometrics 9502004, EconWPA, revised 06 Jun 1995.
  5. Kenneth A. Froot & Takatoshi Ito, 1990. "On the Consistency of Short-run and Long-run Exchange Rate Expectations," NBER Working Papers 2577, National Bureau of Economic Research, Inc.
  6. van Norden, Simon, 1996. "Regime Switching as a Test for Exchange Rate Bubbles," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 11(3), pages 219-51, May-June.
  7. Chung, Heetaik & Lee, Bong-Soo, 1998. "Fundamental and nonfundamental components in stock prices of Pacific-Rim countries," Pacific-Basin Finance Journal, Elsevier, vol. 6(3-4), pages 321-346, August.
  8. McMillan, David G., 2009. "Revisiting dividend yield dynamics and returns predictability: Evidence from a time-varying ESTR model," The Quarterly Review of Economics and Finance, Elsevier, vol. 49(3), pages 870-883, August.
  9. Rudiger Dornbusch, 1983. "Flexible Exchange Rates and Interdependence," NBER Working Papers 1035, National Bureau of Economic Research, Inc.
  10. David G. McMillan, 2010. "Present Value Model, Bubbles and Returns Predictability: Sector-Level Evidence," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 37(5-6), pages 668-686.
  11. Wilfredo L. Maldonado & Octávio A. F. Tourinho & Jorge A. B. M. de Abreu, 2014. "Cointegrated Periodically Collapsing Bubbles in the Exchange Rate of 'BRICS' Countries," CAMA Working Papers 2014-34, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
  12. Hugonnier, Julien, 2012. "Rational asset pricing bubbles and portfolio constraints," Journal of Economic Theory, Elsevier, vol. 147(6), pages 2260-2302.
  13. Esteban Pérez Caldentey & Matías Vernengo, 2010. "Modern Finance, Methodology and the Global Crisis," Working Paper Series, Department of Economics, University of Utah 2010_04, University of Utah, Department of Economics.
  14. Huo, T. -M., 1996. "Monetary confidence and asset prices," International Review of Economics & Finance, Elsevier, vol. 5(4), pages 363-376.
  15. Bohl, Martin T., 2003. "Periodically collapsing bubbles in the US stock market?," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 385-397.
  16. William A. Branch & George W. Evans, 2011. "Learning about Risk and Return: A Simple Model of Bubbles and Crashes," American Economic Journal: Macroeconomics, American Economic Association, vol. 3(3), pages 159-91, July.
  17. Robert P. Flood & Robert J. Hodrick & Paul Kaplan, 1986. "An Evaluation of Recent Evidence on Stock Market Bubbles," NBER Working Papers 1971, National Bureau of Economic Research, Inc.
  18. Simon van Norden & Huntley Schaller & ), 1995. "Speculative Behaviour, Regime-Switching, and Stock Market Crashes," Econometrics 9502003, EconWPA.
  19. Paul de Grauwe & Roberto Dieci & Marianna Grimaldi, 2005. "Fundamental and Non-Fundamental Equilibria in the Foreign Exchange Market. A Behavioural Finance Framework," CESifo Working Paper Series 1431, CESifo Group Munich.
  20. Y. Malevergne & D. Sornette, 2001. "Multi-dimensional Rational Bubbles and fat tails: application of stochastic regression equations to financial speculation," Papers cond-mat/0101371, arXiv.org.
  21. Szafarz, Ariane, 2012. "Financial crises in efficient markets: How fundamentalists fuel volatility," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 105-111.
  22. Peek, E., 2011. "The Value of Accounting," ERIM Inaugural Address Series Research in Management EIA-2011-048-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus Uni.
  23. Fabian Bocart & Ken Bastiaensen & Peter Cauwels, 2011. "The 1980s Price Bubble on (Post) Impressionism," ACEI Working Paper Series AWP-03-2011, the Association for Cultural Economics International, revised Nov 2011.
  24. Harras, Georges & Sornette, Didier, 2011. "How to grow a bubble: A model of myopic adapting agents," Journal of Economic Behavior & Organization, Elsevier, vol. 80(1), pages 137-152.
  25. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2007. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Working Papers 222007, Hong Kong Institute for Monetary Research.
  26. Chen, Nan-Kuang, 2001. "Asset price fluctuations in Taiwan: evidence from stock and real estate prices 1973 to 1992," Journal of Asian Economics, Elsevier, vol. 12(2), pages 215-232.
  27. De Grauwe, Paul & Grimaldi, Marianna, 2004. "Bubbles and Crashes in a Behavioural Finance Model," Working Paper Series 164, Sveriges Riksbank (Central Bank of Sweden).
  28. Meenakshi Basant Roi & Rhys R. Mendes, 2007. "Should Central Banks Adjust Their Target Horizons in Response to House-Price Bubbles?," Discussion Papers 07-4, Bank of Canada.
  29. Cassola, Nuno & Morana, Claudio, 2002. "Monetary policy and the stock market in the euro area," Working Paper Series 0119, European Central Bank.
  30. Taisei Kaizoji, 2003. "Speculative bubbles and fat tail phenomena in a heterogeneous agent model," Papers nlin/0312040, arXiv.org.
  31. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  32. Chris Brooks & Apostolos Katsaris, 2006. "Speculative Bubbles in the S&P 500: Was the Tech Bubble Confined to the Tech Sector?," ICMA Centre Discussion Papers in Finance icma-dp2006-07, Henley Business School, Reading University.
  33. Joseph Zeira, 2000. "Informational overshooting, booms and crashes," Proceedings, Federal Reserve Bank of San Francisco, issue Apr.
  34. repec:ebl:ecbull:v:3:y:2008:i:46:p:1-18 is not listed on IDEAS
  35. Haim Kedar-Levy, 2002. "Price Bubbles of New-Technology IPOs," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 7(2), pages 11-32, Summer.
  36. Behzad T. Diba & Herschel I. Grossman, 1988. "Rational Inflationary Bubbles," NBER Working Papers 2004, National Bureau of Economic Research, Inc.
  37. Maldonado, Wilfredo L. & Tourinho, Octávio A.F. & Valli, Marcos, 2012. "Exchange rate bubbles: Fundamental value estimation and rational expectations test," Journal of International Money and Finance, Elsevier, vol. 31(5), pages 1033-1059.
  38. Chris Brooks & Apostolos Katsaris, 2002. "A Three-Regime Model of Speculative Behaviour: Modelling the Evolution of Bubbles in the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-14, Henley Business School, Reading University.
  39. Hommes, Cars & Sonnemans, Joep & Tuinstra, Jan & van de Velden, Henk, 2008. "Expectations and bubbles in asset pricing experiments," Journal of Economic Behavior & Organization, Elsevier, vol. 67(1), pages 116-133, July.
  40. Hüsler, A. & Sornette, D. & Hommes, C.H., 2013. "Super-exponential bubbles in lab experiments: Evidence for anchoring over-optimistic expectations on price," Journal of Economic Behavior & Organization, Elsevier, vol. 92(C), pages 304-316.
  41. Buiter, Willem H & Pesenti, Paolo, 1990. "Rational Speculative Bubbles in an Exchange Rate Target Zone," CEPR Discussion Papers 479, C.E.P.R. Discussion Papers.
  42. Chuang, Shi-Feng & Huo, Teh-Ming, 2004. "Legal restrictions and sunspots: A further inquiry on the real-bills doctrine versus the quantity theory debate," Journal of Macroeconomics, Elsevier, vol. 26(3), pages 431-442, September.
  43. Obstfeld, Maurice, 1986. "Rational and Self-fulfilling Balance-of-Payments Crises," American Economic Review, American Economic Association, vol. 76(1), pages 72-81, March.
  44. Loisel, Olivier, 2009. "Bubble-free policy feedback rules," Journal of Economic Theory, Elsevier, vol. 144(4), pages 1521-1559, July.
  45. Fantazzini, Dean & Geraskin, Petr, 2011. "Everything You Always Wanted to Know about Log Periodic Power Laws for Bubble Modelling but Were Afraid to Ask," MPRA Paper 47869, University Library of Munich, Germany.
  46. Angelos Kanas, 2003. "Non-linear forecasts of stock returns," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 22(4), pages 299-315.
  47. Takatoshi Ito & Tokuo Iwaisako, 1995. "Explaining Asset Bubbles in Japan," NBER Working Papers 5358, National Bureau of Economic Research, Inc.
  48. Matthew S. Yiu & Jun Yu & Lu Jin, 2012. "Detecting Bubbles in Hong Kong Residential Property Market," Working Papers CoFie-03-2012, Sim Kee Boon Institute for Financial Economics.
  49. Sergio Da Silva & Mauricio Nunes, 2008. "Explosive and periodically collapsing bubbles in emerging stockmarkets," Economics Bulletin, AccessEcon, vol. 3(46), pages 1-18.
  50. Franklin Allen & Gary Gorton, 1991. "Rational Finite Bubbles," NBER Working Papers 3707, National Bureau of Economic Research, Inc.
  51. Shu-Peng Chen & Ling-Yun He, 2013. "Bubble Formation and Heterogeneity of Traders: A Multi-Agent Perspective," Computational Economics, Society for Computational Economics, vol. 42(3), pages 267-289, October.
  52. Loisel, O., 2006. "Bubble-free interest-rate rules," Working papers 161, Banque de France.
  53. Behzad T. Diba & Herschel I. Grossman, 1988. "On the Inception of Rational Bubbles in Stock Prices," NBER Working Papers 1990, National Bureau of Economic Research, Inc.
  54. Efthymios Pavlidis & Ivan Paya & David Peel, 2012. "A New Test for Rational Speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation," Working Papers 18599597, Lancaster University Management School, Economics Department.
  55. Lux, Thomas & Sornette, Didier, 2002. "On Rational Bubbles and Fat Tails," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 34(3), pages 589-610, August.
  56. Shu-Ping Shi, 2013. "Specification sensitivities in the Markov-switching unit root test for bubbles," Empirical Economics, Springer, vol. 45(2), pages 697-713, October.
  57. Nandini Srivastava & Stephen Satchell, 2012. "Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable," Birkbeck Working Papers in Economics and Finance 1209, Birkbeck, Department of Economics, Mathematics & Statistics.
  58. Stracca, Livio, 2004. "Behavioral finance and asset prices: Where do we stand?," Journal of Economic Psychology, Elsevier, vol. 25(3), pages 373-405, June.
  59. Jacob A. Frenkel & Morris Goldstein, 1989. "Exchange Rate Volatility and Misalignment: Evaluating Some Proposals for Reform," NBER Working Papers 2894, National Bureau of Economic Research, Inc.
  60. Driskill, Robert, 2006. "Multiple equilibria in dynamic rational expectations models: A critical review," European Economic Review, Elsevier, vol. 50(1), pages 171-210, January.
  61. Richard K. Lyons, 2001. "Foreign exchange: macro puzzles, micro tools," Pacific Basin Working Paper Series 2001-10, Federal Reserve Bank of San Francisco.
  62. Tro Kortian, 1995. "Modern Approaches to Asset Price Formation: A Survey of Recent Theoretical Literature," RBA Research Discussion Papers rdp9501, Reserve Bank of Australia.
  63. M. Kabir Hassan & Jung Suk-Yu, 2007. "Rational Speculative Bubbles: An Empirical Investigation of the Middle East and North African Stock Markets," NFI Working Papers 2007-WP-31, Indiana State University, Scott College of Business, Networks Financial Institute.
  64. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
  65. Li Lin & Didier Sornette, 2009. "Diagnostics of Rational Expectation Financial Bubbles with Stochastic Mean-Reverting Termination Times," Papers 0911.1921, arXiv.org.
  66. Huo, Teh-Ming, 1995. "Stationary sunspot equilibrium in a cash-in-advance economy," Journal of Economic Dynamics and Control, Elsevier, vol. 19(4), pages 831-843, May.
  67. Anders Johansen & Didier Sornette & Olivier Ledoit, 1999. "Empirical and Theoretical Status of Discrete Scale Invariance in Financial Crashes," Finance 9903006, EconWPA.
  68. Ravi Dhar & William Goetzmann, 2005. "Bubble Investors: What Were They Thinking?," Yale School of Management Working Papers ysm446, Yale School of Management, revised 01 Aug 2006.
  69. Keith Anderson & Chris Brooks & Sotiris Tsolacos, 2009. "Testing for periodically collapsing rational speculative bubbles in US REITs," ICMA Centre Discussion Papers in Finance icma-dp2009-11, Henley Business School, Reading University.
  70. Aldo Levy & Larry Bensimhon, 2009. "Crises financières : rôle de l'information et mimétisme légal," Post-Print halshs-00593988, HAL.
  71. Fischer, Stanley & Merton, Robert C., 1984. "Macroeconomics and finance: The role of the stock market," Carnegie-Rochester Conference Series on Public Policy, Elsevier, vol. 21(1), pages 57-108, January.
  72. Haim Kedar-Levy, 2007. "Why Would Financial Bubbles Evolve After New Technologies?," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 12(1), pages 83-106, Spring.
  73. Tanaka, Jumpei, 2007. "Is higher confidence of fiat money necessarily desirable?," Economics Letters, Elsevier, vol. 95(2), pages 211-216, May.
  74. Evrensel, Ayse Y. & Kutan, Ali M., 2006. "Creditor moral hazard in stock markets: Empirical evidence from Indonesia and Korea," Journal of International Money and Finance, Elsevier, vol. 25(4), pages 640-654, June.
  75. John Knight & Stephen Satchell & Nandini Srivastava, 2012. "Steady-State Distributions for Models of Bubbles: their Existence and Econometric Implications," Birkbeck Working Papers in Economics and Finance 1208, Birkbeck, Department of Economics, Mathematics & Statistics.
  76. Hideaki Sakawa & Naoki Watanabel, 2006. "A Note on Synchronization Risk and Delayed Arbitrage," Economics Bulletin, AccessEcon, vol. 7(7), pages 1-12.
  77. Robert A. Driskill, 2002. "A Proposal for a Selection Criterion in a Class of Dynamic Rational Expectations Models with Multiple Equilibria," Vanderbilt University Department of Economics Working Papers 0210, Vanderbilt University Department of Economics.
  78. Kevin J. Lansing, 2007. "Rational and near-rational bubbles without drift," Working Paper Series 2007-10, Federal Reserve Bank of San Francisco.
  79. Chris Brooks & Apostolos Katsaris, 2002. "Forecasting the Collapse of Speculative Bubbles: An Empirical Investigation of the S&P 500 Composite Index," ICMA Centre Discussion Papers in Finance icma-dp2002-04, Henley Business School, Reading University.
  80. Cazzavillan, Guido & Pintus, Patrick A., 2005. "On competitive cycles and sunspots in productive economies with a positive money stock," Research in Economics, Elsevier, vol. 59(2), pages 137-147, June.
  81. D. Sornette, 2000. ""Slimming" of power law tails by increasing market returns," Papers cond-mat/0010112, arXiv.org, revised Sep 2001.
  82. Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas, 2005. "Renewal regime switching and stable limit laws," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 299-327.
  83. Sergio Da Silva, 2004. "International Finance, Levy Distributions, and the Econophysics of Exchange Rates," International Finance 0405018, EconWPA.
  84. Paul De Grauwe & Marianna Grimaldi, 2005. "Bubbles and crashes in a Behavioural Finance Model," Working Papers de Economia (Economics Working Papers) 25, Departamento de Economia, Gestão e Engenharia Industrial, Universidade de Aveiro.
  85. John Duffy & M. Utku Unver, 2003. "Asset Price Bubbles and Crashes with Near-Zero-Intelligence Traders: Towards an Understanding of Laboratory Findings," Computational Economics 0307001, EconWPA, revised 17 Mar 2004.
  86. McLaren, John, 1998. "Consequences of discretion in the formation of commodities policy," Journal of Public Economics, Elsevier, vol. 69(3), pages 347-370, September.
  87. Fukuta, Yuichi, 1998. "A simple discrete-time approximation of continuous-time bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 22(6), pages 937-954, June.
  88. Ackert, Lucy F. & Kluger, Brian D. & Qi, Li, 2012. "Irrationality and beliefs in a laboratory asset market: Is it me or is it you?," Journal of Economic Behavior & Organization, Elsevier, vol. 84(1), pages 278-291.