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Speculative Behaviour, Regime-Switching and Stock Market Crashes

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Listed author(s):
  • Van Norden, S.
  • Schaller, H.

Abstract

This paper uses regime-switching econometrics to study stock market crashes and to explore the ability to two very different economic explanations to account for historical crashes.

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File URL: http://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-13.pdf
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Paper provided by Bank of Canada in its series Staff Working Papers with number 96-13.

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Length: 47 pages
Date of creation: 1996
Handle: RePEc:bca:bocawp:96-13
Contact details of provider: Postal:
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Web page: http://www.bank-banque-canada.ca/

Keywords: STOCK MARKET; REGRESSION ANALYSIS;

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Find related papers by JEL classification:
  • E44 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Financial Markets and the Macroeconomy
  • E47 - Macroeconomics and Monetary Economics - - Money and Interest Rates - - - Forecasting and Simulation: Models and Applications

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  7. 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 219-251, May-June.
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  36. Tirole, Jean, 1985. "Asset Bubbles and Overlapping Generations," Econometrica, Econometric Society, vol. 53(6), pages 1499-1528, November.
  37. William A. Brock & Blake LeBaron, 1990. "Liquidity Constraints in Production-Based Asset-Pricing Models," NBER Chapters,in: Asymmetric Information, Corporate Finance, and Investment, pages 231-256 National Bureau of Economic Research, Inc.
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