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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)

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.

Suggested Citation

  • Ithurbide, Philippe, 1987. "Le marché de l’or et les bulles rationnelles," L'Actualité Economique, Société Canadienne de Science Economique, vol. 63(4), pages 331-356, décembre.
  • Handle: RePEc:ris:actuec:v:63:y:1987:i:4:p:331-356
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