Econometric Tests of Asset Price Bubbles: Taking Stock

34 Pages Posted: 2 Jan 2005

See all articles by Refet S. Gürkaynak

Refet S. Gürkaynak

Bilkent University - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: January 2005

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.

Keywords: asset price bubbles, econometric bubble detection

JEL Classification: G12, C52

Suggested Citation

Gürkaynak, Refet S., Econometric Tests of Asset Price Bubbles: Taking Stock (January 2005). Available at SSRN: https://ssrn.com/abstract=658244 or http://dx.doi.org/10.2139/ssrn.658244

Refet S. Gürkaynak (Contact Author)

Bilkent University - Department of Economics ( email )

06533 Ankara
Turkey

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