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Market Volatility


  • Robert J. Shiller

    () (Yale University)


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.

Suggested Citation

  • Robert J. Shiller, 1992. "Market Volatility," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262691515, January.
  • Handle: RePEc:mtp:titles:0262691515

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    References listed on IDEAS

    1. Van Wijnbergen, Sweden, 1986. "On fiscal deficits, the real exchange rate and the world rate of interest," European Economic Review, Elsevier, vol. 30(5), pages 1013-1023, October.
    2. Tabellini, Guido & Alesina, Alberto, 1990. "Voting on the Budget Deficit," American Economic Review, American Economic Association, vol. 80(1), pages 37-49, March.
    3. Tobin, James, 1969. "A General Equilibrium Approach to Monetary Theory," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 1(1), pages 15-29, February.
    4. Sutherland, Alan, 1997. "Fiscal crises and aggregate demand: can high public debt reverse the effects of fiscal policy?," Journal of Public Economics, Elsevier, vol. 65(2), pages 147-162, August.
    5. Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," Review of Economic Studies, Oxford University Press, vol. 32(2), pages 137-150.
    6. Robert Summers & Alan Heston, 1991. "The Penn World Table (Mark 5): An Expanded Set of International Comparisons, 1950–1988," The Quarterly Journal of Economics, Oxford University Press, vol. 106(2), pages 327-368.
    7. Uzawa, H, 1969. "Time Preference and the Penrose Effect in a Two-Class Model of Economic Growth," Journal of Political Economy, University of Chicago Press, vol. 77(4), pages 628-652, Part II, .
    8. van Wijnbergen, Sweder, 1987. "Tariffs, Employment and the Current Account: Real Wage Resistance and the Macroeconomics of Protectionism," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(3), pages 691-706, October.
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    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 16.
    2. Francesco Cerigioni, 2016. "Dual Decision Processes and Noise Trading," Working Papers 925, Barcelona Graduate School of Economics.
    3. repec:eme:qrfmpp:v:3:y:2011:i:2:p:26-35 is not listed on IDEAS
    4. Christian Rudolf RICHTER & Bachar FAKHRY, 2016. "Testing the Efficiency of the GIPS Sovereign Debt Markets using an Asymmetrical Volatility Test," Journal of Economics and Political Economy, KSP Journals, vol. 3(3), pages 524-535, September.
    5. Hashemi, Fariba, 2013. "On the dynamics of convergence in cross-country incomes," Economic Modelling, Elsevier, vol. 30(C), pages 394-404.
    6. Pope, Rulon D. & LaFrance, Jeffrey T. & Just, Richard E., 2011. "Agricultural arbitrage and risk preferences," Journal of Econometrics, Elsevier, vol. 162(1), pages 35-43, May.
    7. Bachar Fakhry & Christian Richter, 2015. "Is the sovereign debt market efficient? Evidence from the US and German sovereign debt markets," International Economics and Economic Policy, Springer, vol. 12(3), pages 339-357, September.
    8. 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.
    9. 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, May.
    10. 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.
    11. Oliver D. Bunn & Robert J. Shiller, "undated". "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.
    12. Francesco Cerigioni, 2016. "Dual decision processes and noise trading," Economics Working Papers 1553, Department of Economics and Business, Universitat Pompeu Fabra.
    13. Bradley Jones, 2015. "Asset Bubbles; Re-thinking Policy for the Age of Asset Management," IMF Working Papers 15/27, International Monetary Fund.
    14. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc.
    15. Victor Dragota & Dragos Stefan Oprea, 2014. "Informational Efficiency Tests on the Romanian Stock Market: A Review of the Literature," The Review of Finance and Banking, Academia de Studii Economice din Bucuresti, Romania / Facultatea de Finante, Asigurari, Banci si Burse de Valori / Catedra de Finante, vol. 6(1), pages 015-028, June.
    16. Axioglou Christos & Skouras Spyros, 2015. "Asset pricing with flexible beliefs," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 19(4), pages 415-443, September.

    More about this item


    price volatility; speculative markets; efficient-markets model;

    JEL classification:

    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • E6 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook


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