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Bubblebusters : Chasing the Ghost of Global Vagabonding Bubbles

Title data

Drescher, Christian:
Bubblebusters : Chasing the Ghost of Global Vagabonding Bubbles.
Bayreuth : Universität Bayreuth , 2012 . - 46 S. - (Wirtschaftswissenschaftliche Diskussionspapiere der Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät ; 07-12 )

Official URL: Volltext

Abstract in another language

The paper identifies rational asset bubbles in corporate equity, real estate, fixed income
and commodity markets in order to draw a roadmap of global vagabonding bubbles.
The employed quasi real-time procedure dates the beginning and ending of rational asset
bubbles using right-sided forward recursive ADF tests. The empirical analysis yields the
following conclusions. Firstly, rational asset bubbles appear frequently worldwide in all
asset classes. Secondly, the average length of rational asset bubbles varies across all asset
classes and countries. Thirdly, rational asset bubbles tend to be clustered in corporate
equity, real estate and commodity markets.

Further data

Item Type: Working paper, discussion paper
Institutions of the University: Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I > Chair Economics I - Univ.-Prof. Dr. Bernhard Herz
Faculties
Faculties > Faculty of Law, Business and Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics
Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I
Result of work at the UBT: Yes
DDC Subjects: 300 Social sciences > 330 Economics
Date Deposited: 15 May 2015 10:53
Last Modified: 04 Apr 2019 05:40
URI: https://eref.uni-bayreuth.de/id/eprint/13538