| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2903 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w2903 |
| 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/560172 |
| 推荐引用方式 GB/T 7714 | Robert P. Flood,Robert J. Hodrick. Testable Implications of Indeterminacies in Models with Rational Expectations. 1989. |
| 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 | ||
| w2903.pdf（196KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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