Premium
ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK *
Author(s) -
Gürkaynak Refet S.
Publication year - 2008
Publication title -
journal of economic surveys
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.657
H-Index - 92
eISSN - 1467-6419
pISSN - 0950-0804
DOI - 10.1111/j.1467-6419.2007.00530.x
Subject(s) - economics , econometrics , economic bubble , asset (computer security) , econometric model , stock (firearms) , stock price , bubble , sample (material) , financial economics , capital asset pricing model , monetary economics , computer science , mechanical engineering , paleontology , chemistry , computer security , chromatography , series (stratigraphy) , parallel computing , biology , engineering
Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time‐varying or regime‐switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved.