| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1059 |
| 来源ID | Working Paper 1059 |
| Rational Asset Price Bubbles | |
| Behzad T. Diba; Herschel I. Grossman | |
| 发表日期 | 1983 |
| 出版年 | 1983 |
| 语种 | 英语 |
| 摘要 | The solution to a linear model in which supply and/or demand depends on rational expectations of future prices can involve three parts, which we denote as the fundamental component, the deterministic bubble component, and the stochastic bubble component. This paper explores the properties of these solution components, emphasizing the distinction between deterministic bubbles and stochastic bubbles, for a model of inflation and for a model of the evolution of price and quantity in the market fora storable commodity, such as gold. The analysis focuses on stochastic bubbles as a possibility peculiarly associated with models that involve rational expectations. In both the inflation model and the gold model, although the analysis points to no compelling reason to rule out rational stochastic bubbles apriori, conventional behavioral assumptions imply that anyrational bubbles that arise, whether deterministic or stochastic,are explosive. The paper discusses problems of implementing econometric tests for the existence of rational bubbles, and, as an alternative to these tests, suggests "diagnostic checking" of the stationarity properties of time series. Although these diagnostic checks do not constitute definitive hypothesis testing, we conjecture they would provide strong evidence against rational bubbles outside the context of hyperinflation. |
| 主题 | Macroeconomics |
| URL | https://www.nber.org/papers/w1059 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/558279 |
| 推荐引用方式 GB/T 7714 | Behzad T. Diba,Herschel I. Grossman. Rational Asset Price Bubbles. 1983. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w1059.pdf（236KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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