at Google ScholarTitle data
Drescher, Christian ; Herz, Bernhard:
What Determines Simultaneous Asset Bubbles?
Bayreuth
:
Universität Bayreuth
,
2012
. - 36 S.
- (Wirtschaftswissenschaftliche Diskussionspapiere der Universität Bayreuth, Rechts- und Wirtschaftswissenschaftliche Fakultät
; 08-12
)
Abstract in another language
The recent global financial crisis demonstrated that the simultaneous collapse of asset
bubbles in different countries is a major challenge for monetary policy. In order to eval-
uate determinants of these simultaneous asset bubbles, we detect rational asset bubbles
in corporate equity and real estate markets worldwide using forward recursive right-
sided ADF tests. Then we create dummy variables for simultaneous asset bubbles and
analyze potential determinants using gravity models and spatial economics. Our empir-
ical analysis suggests that simultaneous asset bubbles depend positively upon potential
asset demand, capital account openness, monetary conditions, cultural similarities and
negatively upon informational frictions and exchange rate flexibility. These findings im-
ply that monetary policy can impede the probability of simultaneous asset bubbles by
ensuring sound monetary conditions and choosing a flexible exchange regime.
Further data
| Item Type: | Working paper, discussion paper |
|---|---|
| Keywords: | asset bubbles; recursive ADF; bivariate logit panel estimations; gravity
model; spatial economics |
| Institutions of the University: | Faculties > Faculty of Law, Business and Economics > Department of Economics > Chair Economics I - International Economics and Finance > Chair Economics I - International Economics and Finance - 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 - International Economics and Finance |
| Result of work at the UBT: | Yes |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 15 May 2015 11:56 |
| Last Modified: | 04 Apr 2019 05:40 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/13542 |