<abstract xml:lang="en" xmlns="http://www.w3.org/1999/xhtml"><p>The paper applies a new bubble test checking the explosiveness of asset prices, especially real stock prices, real house prices and a combination of these prices. In this study, a sample of 17 OECD industrialised countries and the euro area over the period 1969 Q1 - 2010 Q2 is investigated. The authors carry out recursive unit root to determine the beginning and the end of a period of bubble behaviour. The new test procedure finds evidence for rejecting the non-bubble hypothesis. Particularly the composite indicator includes hints of bubble situations before the actual financial crisis.</p></abstract>

The paper applies a new bubble test checking the explosiveness of asset prices, especially real stock prices, real house prices and a combination of these prices. In this study, a sample of 17 OECD industrialised countries and the euro area over the period 1969 Q1 - 2010 Q2 is investigated. The authors carry out recursive unit root to determine the beginning and the end of a period of bubble behaviour. The new test procedure finds evidence for rejecting the non-bubble hypothesis. Particularly the composite indicator includes hints of bubble situations before the actual financial crisis.

Applying a New Bubble Test for a Composite Indicator

European Central Bank, Kaiserstrasse 29, 60311 Frankfurt am Main, Germany

Hochschule Wismar, Postfach 1210, 23952 Wismar

Folia Oeconomica Stetinensia

{"article-title":"Applying a New Bubble Test for a Composite Indicator"}

The paper applies a new bubble test checking the explosiveness of asset prices, especially real stock prices, real house prices and a combination of these...

Applying a New Bubble Test for a Composite Indicator

Publié en ligne: 21 déc. 2011

Pages: 1 - 23

DOI: https://doi.org/10.2478/v10031-010-0013-7

Mots clés
bubbles, explosive unit root test

This content is open access.

Applying a New Bubble Test for a Composite Indicator

Publié en ligne: 21 déc. 2011

Pages: 1 - 23

DOI: https://doi.org/10.2478/v10031-010-0013-7

Mots clésbubbles, explosive unit root test

This content is open access.

Mots clés
bubbles, explosive unit root test