Identifying asset price booms and busts with quantile regressions
This paper presents a methodology for detecting asset price booms and busts using non-parametric quantile regressions. The method consists in estimating the distribution of real stock prices as a function of fundamental determinants of stock returns, namely real economic activity and real interest rates. It is shown that changes in fundamentals affect not only the location but also the shape of the conditional distribution of stock prices. Asset price booms and busts are identified as realizations on the tails of that distribution. Then we use several indicators to analyse the behaviour of money and credit around the boom and bust episodes.
|Date of creation:||2006|
|Date of revision:|
|Contact details of provider:|| Postal: R. do Ouro, 27, 1100 LISBOA|
Phone: 21 321 32 00
Fax: 21 346 48 43
Web page: http://www.bportugal.pt
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Perez-Quiros, Gabriel & Timmermann, Allan, 2001.
"Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities,"
Journal of Econometrics,
Elsevier, vol. 103(1-2), pages 259-306, July.
- Perez-Quiros, G. & Timmermann, A., 2001. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," Papers 58, Quebec a Montreal - Recherche en gestion.
- Pérez Quirós, Gabriel & Timmermann, Allan, 2001. "Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities," Working Paper Series 0058, European Central Bank.
- Allan Timmermann & Gabriel Perez-Quiros, 2000. "Business Cycle Asymmetries in Stock Returns: Evidence from Higher Order Moments and Conditional Densities," FMG Discussion Papers dp360, Financial Markets Group.
When requesting a correction, please mention this item's handle: RePEc:ptu:wpaper:w200608. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (DEE-NTDD)
If references are entirely missing, you can add them using this form.