G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w2903
来源IDWorking Paper 2903
Testable Implications of Indeterminacies in Models with Rational Expectations
Robert P. Flood; Robert J. Hodrick
发表日期1989-03-01
出版年1989
语种英语
摘要The possibility that movements in market prices of assets or goods may be caused by self-fulfilling prophecies, called bubbles or sunspots, has long intrigued market observers. If bubbles or sunspots exist, market prices differ from their fundamental values, and markets do not necessarily allocate resources to their best possible uses. Some might argue then that public policies would be needed to alleviate such problems. This paper surveys the current state of the empirically-oriented literature concerning rational dynamic indeterminacies by which we mean a situation of self-fulfilling prophecy within a rational expectations model. The empirical work in this area concentrates primarily on indeterminacies in price levels, exchange rates and equity prices. We first examine a particular type of explosive indeterminacy, usually called a rational bubble, in a familiar model of equity pricing. We then consider empirical work relating to price level and exchange rate indeterminacies, before examining empirical studies of indeterminacies in stock prices. Finally, we take up some interpretive issues. We find that existing bubbles tests do not establish that rational bubbles exist in asset prices.
主题Econometrics ; Macroeconomics
URLhttps://www.nber.org/papers/w2903
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/560172
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Robert P. Flood,Robert J. Hodrick. Testable Implications of Indeterminacies in Models with Rational Expectations. 1989.
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