Econometric Tests of Asset Price Bubbles: Taking Stock

21 Pages Posted: 31 Jan 2008

See all articles by Refet S. Gürkaynak

Refet S. Gürkaynak

Bilkent University - Department of Economics

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Abstract

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.

Suggested Citation

Gürkaynak, Refet S., Econometric Tests of Asset Price Bubbles: Taking Stock. Journal of Economic Surveys, Vol. 22, Issue 1, pp. 166-186, February 2008, Available at SSRN: https://ssrn.com/abstract=1088874 or http://dx.doi.org/10.1111/j.1467-6419.2007.00530.x

Refet S. Gürkaynak (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

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