On the performance of West's bubble test: A simulation approach
Yükleniyor...
Tarih
2010-12-01
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Elsevier science inc
Erişim Hakkı
info:eu-repo/semantics/closedAccess
Özet
In this research we examine the ability of West's bubble test [1] in detecting speculative bubbles using Brock's (1982) [2] intertemporal general equilibrium model of asset pricing as the basis for a simulation study. In this setting, (1) the economy, by construction is efficient and produces the maximally possible amount of welfare for society, and (2) asset prices reflect the utility-maximizing behavior of consumers and the profit-maximizing behavior of firms. We find that the West's bubble test flag as "bubbles" in the simulated data yet the data is produced from an economy in which markets are efficient in welfare production.
Açıklama
Anahtar Kelimeler
Speculative bubble test, Present value model, Asset pricing, Stock-prices, Intrinsic bubbles, Rational bubbles, Model, Fundamentals, Economy, Too, Costs, Economics, Optimization, Profitability, Testing, Asset prices, Bubble test, General equilibrium models, Present value, Simulated data, Simulation approach, Simulation studies, Computer simulation
Kaynak
Applied Mathematics and Computation
WoS Q Değeri
Q1
Scopus Q Değeri
Q1
Cilt
217
Sayı
7
Künye
Yüksel, A., Akdeniz, L. & Altay Salih, A. (2010). On the performance of West’s bubble test: A simulation approach. Applied Mathematics and Computation, 217(7), 3236-3247. doi:10.1016/j.amc.2010.08.056
