at Google ScholarTitle data
Drescher, Christian ; Herz, Bernhard:
What determines simultaneous asset bubbles? An empirical analysis.
In: Applied Economics.
Vol. 48
(2016)
Issue 1
.
- pp. 35-51.
ISSN 0003-6846
DOI: https://doi.org/10.1080/00036846.2015.1073841
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 evaluate 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 analyse potential determinants using gravity models and spatial economics. Our empirical 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 imply 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: | Article in a journal |
|---|---|
| Refereed: | Yes |
| Keywords: | Asset bubbles; recursive ADF; bivariate logit panel estimations; gravity model; spatial economics |
| Subject classification: | JEL CLASSIFICATION: C21, E52, G12 |
| Institutions of the University: | 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 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 |
| Result of work at the UBT: | Yes |
| DDC Subjects: | 300 Social sciences > 330 Economics |
| Date Deposited: | 30 Nov 2017 07:58 |
| Last Modified: | 20 Oct 2022 10:46 |
| URI: | https://eref.uni-bayreuth.de/id/eprint/40595 |