| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w1300 |
| 来源ID | Working Paper 1300 |
| Rational Bubbles in the Price of Gold | |
| Behzad T. Diba; Herschel I. Grossman | |
| 发表日期 | 1984-03-01 |
| 出版年 | 1984 |
| 语种 | 英语 |
| 摘要 | This paper describes a theoretical and empirical study of the possibility of rational bubbles in the relative price ofgold. The critical implication of the theoretical analysis is that, if rational bubbles exist, the time series of the relative price of gold, as well as any time series obtained by differencing a finite number of times, is nonstationary. The empirical evidence relating to this nonstationarity property involves diagnostic checks for stationarity carried out in both the time domain and the frequency domain. This evidence strongly suggests that the process generating the first difference of the log of the relative price of gold is stationary, a finding that is inconsistent with the existence of rational bubbles. More broadly, the empirical analysis finds a close correspondence between the time series properties of the relative price of gold and the time series properties of real interest rates,which the theory relates to the time series properties of the fundamental component of the relative price of gold. In sum, the evidence is consistent with the combined conclusion that the relative price of gold corresponds to market fundamentals, that the process generating first differences of market fundamentals is stationary, and that actual price movements do not involve rational bubbles. |
| 主题 | Other |
| URL | https://www.nber.org/papers/w1300 |
| 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/558528 |
| 推荐引用方式 GB/T 7714 | Behzad T. Diba,Herschel I. Grossman. Rational Bubbles in the Price of Gold. 1984. |
| 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 | ||
| w1300.pdf（168KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
