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Asset price bubbles are a major source of macroeconomic instability, but can they play a different role in a low interest rates environment? To answer this question, I study an economy in which the natural rate of interest declines permanently, and the zero lower bound makes risk-free interest rates persistently low. Asset price bubbles redistribute wealth across generations because of the life-cycle pattern of net worth. In this way, they increase the natural interest rate by serving as a store of value for older cohorts and as a collateral for the younger ones, and the central bank can escape from the ZLB with potential output and welfare gains. Output gains are further amplified in presence of capital accumulation and the “financial accelerator”. However, not all bubble types increase the natural interest rate to the same degree and, in this respect, leveraged bubbles have a greater impact than unleveraged bubbles.

International audience; We show that both real indeterminacy and asset price bubble may appear in an infinite-horizon exchange economy with infinitely lived agents and an imperfect financial market. We explain how the asset structure and heterogeneity (in terms of preferences and endowments) affect the existence and the dynamics of asset price bubbles as well as the equilibrium indeterminacy. Moreover, this paper bridges the literature on bubbles in models with infinitely lived agents and that in overlapping generations models.

We develop an OLG model with productive capital accumulation, frictional financial markets, sticky prices and a form of heterogeneity among households which splits them between borrowers and lenders in the credit market. In the spirit of Gali, J., 2014. Monetary policy and rational asset price bubbles. Am. Econ. Rev. 104, 721–752, we use this framework to study the consequences of different monetary policy rules, focusing in particular on the so-called “leaning against the wind” policy, according to which the central bank sets the nominal rate so as to prevent the formation of asset price bubbles in the financial markets. Our framework can generate stationary equilibria with rational asset bubbles of different types. In some of these equilibria, the presence of bubbly assets can increase the values of stationary capital and output, whereas in others it reduces them, and we determine three main channels through which the stationary value of the bubble (relative to GDP) can shift the economy in one of the two types of stationary equilibria. We then run numerical simulations to evaluate the dynamic behavior of a bubbly economy in response to different monetary policy rules. Our main conclusion is that, under credit frictions and sticky prices, a “leaning against the wind” policy is desirable only if the reactions of the central bank to inflation and output deviations from their targets are small. If this was not the case, the central bank could run the risk of increasing bubble volatility and rapidly turn the expansionary shock into a recession.

This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble.

0000-0003-4048-5041 This thesis aims to analyze asset price bubbles, where we developed, in Chapter I, a brief historical crashes description and a bibliometric analysis of 2,494 articles. In Chapter II, we studied the presence of financial bubbles in fifty stocks that constitute the S&P 500 index, using the generalized augmented Dickey-Fuller (GSADF) test proposed by Phillips et al. (2011, 2015). We found one hundred six bubbles in fifteen assets and detected that in the last decade (2010-2020), there is an increasing pace of this phenomenon. In Chapter III, we developed the ability of the Normal Inverse Gaussian distribution (NIG) to fit the returns of eight stocks where we found in the previous chapter at least one bubble-type behavior in the period from January 3, 2000, to December 31, 2009 (1P), and from January 4, 2010, to April 29, 2020 (2P). For the first period, the NIG could fit the mentioned segment; therefore, we estimate at different levels of confidence the VaR and CVaR for the in-sample-data (1P). We took the maximum expected loss and shortfall values and applied them to the out-of-the-sample (2P). In conclusion, we obtained a good adjustment to the second period (2P) and found the NIG differences compared to the Generalized Hyperbolic (GH) are just marginal. At the same time, we benefit the NIG is close under convolution and minor computational effort evaluation. In Chapter IV, we implemented a model-based clustering method of the Gaussian mixture model to categorize previously identified asset price bubbles and three dropdown scenarios of the S&P 500 index for 2020. We took an approach based on the price-driven identification: bubble size and crash size. We obtained different Gaussian cluster models and concluded that the Gaussian mixture model is a gold standard for further investigations. Finally, in Chapter V, we developed the previous chapters' final remarks that include all supervisors' valuable feedback. Doctor en Ciencias Financieras

Este artículo analiza datos de precios históricos de Bitcoin junto con los de una burbuja histórica reconocida y generalmente aceptada (Burbuja de los Mares del Sur de 1720) con el objeto de identificar posibles similitudes. Para encontrar evidencia empírica de tendencias de burbuja especulativa, este artículo analiza los momentos de la distribución y modelos autorregresivos de series de tiempo de ambos activos. Los resultados muestran que los precios diarios históricos de ambos activos, considerando un año antes y después del precio máximo, muestran claramente las fases de expansión de una burbuja y el consecuente colapso. Asimismo, los dos activos muestran varias similitudes en la estadística descriptiva de sus retornos incluyendo la media, desviación estándar y el sesgo. Otras pruebas estadísticas muestran varios momentos de explosión en las series de tiempo de los retornos de ambos activos, lo que implica que estos exhibieron más de una burbuja financiera. This paper examines historical Bitcoin price data together with the price data of a well-known and generally accepted historical asset price bubble (the 1720 South Sea Bubble) with the aim of identifying possible similarities. In order to find empirical evidence of speculative bubble tendencies, the article analyses distribution moments and autoregressive models of time series of both assets. Results show that historical daily prices of both assets—taking into account one year before and one year after the maximum price level—clearly show the two phases of bubble expansion and subsequent crash. Furthermore, various similarities between the South Sea Bubble and Bitcoin can be found in descriptive statistics, such as mean of return, standard deviation, and skewness. Statistical tests also show several explosive moments in the time series of the South Sea Company and Bitcoin returns, which implies that both assets exhibit more than one financial bubble.

In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test., Bu çalışmada Borsa İstanbul’da varlık fiyatı balonu araştırması sağ kuyruk birim kök testleri vasıtasıyla incelenmiştir. Balon araştırmasının yapıldığı endeks Borsa İstanbul 100 getiri endeksidir. Çalışma dönemi endeks işlem hacmindeki artış göz önüne alınarak 1997-2018 dönemi olarak belirlenmiştir. Finansal krizlerin göstergesi olarak belirlenen makroekonomik değişkenler; gayrisafi yurtiçi hasıla, dış ticaret açığı, toplam dış borç, reel döviz kuru, bütçe açığı, kredi/gayri safi yurtiçi hasıla, faiz oranı, yurtiçi kredi hacmi, para arzı ve enflasyondur. Bu değişkenler ve balonlar arasındaki ilişki asimetrik nedensellik testiyle incelenmiştir.

The aggregate value of real estates in Hungary is approximately 30–40 trillion Hungarian forints. Unlike the international practice, the behaviour of the Hungarian housing market segment was subject to only a few pieces of research so far, and statistical data is also limited in this regard, even though this constitutes about half of the total estate of households. Accordingly, the cyclic behaviour of the housing market in Hungary will be analysed in the study based on four indicators measured by the Hungarian Central Statistical Office, which are the average price of used residential properties per square meter, the amount of remitted mortgages and subsidies, the number of residential property transactions, and the number of properties built. In order to better understand the nature of the cycles, the inflexibility of residential property stock will also be examined together with the effect of expectations of market operators with the assistance of the indicators published by GKI Economic Research Co. The cyclic behaviour of the Hungarian housing market may be explained primarily with business cycles, but state subsidies and mortgages also affect the variations, since there is a significant positive correlation between these factors and the prices of new residential properties. Accordingly, the increasing lending and the high amount of subsidies can generate a price bubble on the housing market. The stock of second-hand residential properties looks more flexible compared to that of new ones. However, the expectations of market operators do not have a demonstrable effect on the Hungarian housing market.

This paper constructs the most comprehensive paintings price index in Turkey by using 32,391 manually collected sales transactions, including artworks of 413 artists over the period 1990–2016. The results indicate that the Turkish paintings market underperforms the domestic stock market, but leading to the higher returns compared to the global paintings and the global stock markets. The results from the causality analysis also demonstrate that there is the feedback effect between the domestic paintings and the domestic stock market. Furthermore, the findings cannot reject the null hypothesis that there is no bubble in the Turkish Paintings price index. Finally, the geopolitical and the political risks in Turkey are among the main reasons for the diminishing returns of the Turkish paintings market after 2010. © 2018 Elsevier B.V.

In this study, the asset price bubble in Borsa Istanbul was examined through the right-tailed unit root test. The index where the bubble research was conducted is Borsa Istanbul 100 return index. The study period was determined as 1997-2018 period considering the increase in the index transaction volume. Macroeconomic variables identified as indicators of financial crises were; gross domestic product, foreign trade deficit, total foreign debt, real exchange rate, budget deficit, credit / gross domestic product, interest rate, domestic credit volume, money supply and inflation. The relationship between these variables and bubbles was examined with asymmetric causality test. Bu çalışmada Borsa İstanbul’da varlık fiyatı balonu araştırması sağ kuyruk birim kök testleri vasıtasıyla incelenmiştir. Balon araştırmasının yapıldığı endeks Borsa İstanbul 100 getiri endeksidir. Çalışma dönemi endeks işlem hacmindeki artış göz önüne alınarak 1997-2018 dönemi olarak belirlenmiştir. Finansal krizlerin göstergesi olarak belirlenen makroekonomik değişkenler; gayrisafi yurtiçi hasıla, dış ticaret açığı, toplam dış borç, reel döviz kuru, bütçe açığı, kredi/gayri safi yurtiçi hasıla, faiz oranı, yurtiçi kredi hacmi, para arzı ve enflasyondur. Bu değişkenler ve balonlar arasındaki ilişki asimetrik nedensellik testiyle incelenmiştir.

The main aim of this paper is to identify the underlying reasons for the cyclical nature of the Hungarian housing market, in particular the business cycles, the construction, and market participants’ expectations. Our research was conducted based on analysis of statistical data and of the housing market indices. As a result, it can be stated that cyclic behaviour of the housing market may be explained primarily with business cycles, but state subsidies and mortgages also affect the variations. Accordingly, the increasing lending and the high amount of subsidies can generate a price bubble. The supply of second-hand dwellings looks more flexible compared with that of new ones. However, the expectations of market operators do not have a demonstrable effect on the housing market. Ključni cilj tega članka je prepoznati osnovne razloge za ciklični značaj madžarskega stanovanjskega trga, še posebej poslovnih ciklov, gradbenih projektov in pričakovanj tržnih udeležencev. Raziskava temelji na analizi statističnih podatkov in indeksov stanovanjskega trga. Izsledki raziskave kažejo, da je cikličnost stanovanjskega trga možno pojasniti pretežno s poslovnimi cikli, vendar državne subvencije in hipoteke prav tako vplivajo na variacije. Torej lahko naraščajoče posojanje in visok znesek subvencij ustvarjata cenovni balon. Ponudba rabljenih stanovanj izkazuje večjo prilagodljivost kot ponudba novih stanovanj. Kakorkoli, pričakovanja tržnih udeležencev nimajo jasnega učinka na stanovanjski trg.

This study looks to examine the significance and limits of various financial stabilization measures implemented by the Japanese government, by briefly looking back on how the bursting of asset-price bubbles affected the financial conditions of Japanese banks. Bad-loan problems in Japan might not have been as serious, had the Japanese banking system avoided directing an excessive concentration of loans to real estate-related markets in the late 1980s. Based on the Japanese experience, we provide some insights with regard to bad-loan problems and financial supervision. First, we contend that monetary policy should be implemented so as to maintain price stability, including asset prices, and prevent the concentration of risk within a loan portfolio. Second, a disciplinary mechanism should be embedded in the capital market, so as to encourage bank managers to adopt a prudent portfolio investment policy. Third, a statutory framework for the disposal of failed banks should be introduced, along with prompt corrective measures that are based on a self-grading system., 論説(Article)

Article first published online: 9 JUL 2013 The traditional view of risk in a financial system is that it is the summation of individual risks within the system. However, the financial crisis that started in 2007 has driven home that this view of risk is inadequate. It is the interactions of financial institutions and markets that determine the systemic risks that drive financial crises. We identify four types of systemic risk. These are (i) panics—banking crises due to multiple equilibria; (ii) banking crises due to asset price falls; (iii) contagion; and (iv) foreign exchange mismatches in the banking system.

Before 2007, financial crises were not widely studied in economics and finance. The lack of importance ascribed to financial stability and our limited knowledge of this topic were significant contributors to the crisis. This paper suggests five areas where new theories are needed. These are asset price bubbles, central bank checks and balances, global imbalances, banking regulation, and competition in financial services.

We outline a dynamic stochastic general equilibrium (DSGE) model with trend extrapolation in asset pricing that we fit to quarterly U.S. macroeconomic time series with Bayesian techniques. To be more precise, we modify the DSGE model in Smets and Wouters (2007) by incorporating asset traders who use a mix of fundamental analysis and trend extrapolation in asset pricing. We conclude that trend extrapolation in asset pricing is quantitatively relevant, statistically significant and results in a substantial improvement of the model’s fit to the data. We also find that the strength in trend extrapolation is much stronger during the Great Moderation than it was prior to this period. Moreover, allowing for asset mispricing leads to more pronounced hump-shaped dynamics of the asset price and investment. Thus, asset price misalignments should be an important ingredient in DSGE models that aim to understand business cycles dynamics in general and the interaction between the real and financial sectors in particular.

Low inflation on goods markets provides no reliable precondition for asset-market stability; it might even promote the emergence of bubbles because interest rates and risk premia appear to be low. A further factor driving asset demand is easy availability of credit, which in turn roots in the banking system operating in a regime of endogenous central-bank money. A comparison of Bundesbank and ECB policies suggests that credit growth can be controlled more efficiently if rising interest rates are accompanied by some liquidity squeeze that supports the spillover of a monetary restriction to capital markets. The announcement effect of a central bank Charter including the goal of financial-market stability helps to deter private agents from excessive asset trading.