Applying a New Bubble Test for a Composite Indicator

Dieter Gerdesmeier; Hans-Eggert Reimers; Barbara Roffia

doi:10.2478/v10031-010-0013-7

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Applying a New Bubble Test for a Composite Indicator

Folia Oeconomica Stetinensia

Volume 9 (2010): Issue 1 (January 2010)

By: Dieter Gerdesmeier, Hans-Eggert Reimers and Barbara Roffia

Open Access

|Dec 2011

Abstract

The paper applies a new bubble test checking the explosiveness of asset prices, especially real stock prices, real house prices and a combination of these prices. In this study, a sample of 17 OECD industrialised countries and the euro area over the period 1969 Q1 - 2010 Q2 is investigated. The authors carry out recursive unit root to determine the beginning and the end of a period of bubble behaviour. The new test procedure finds evidence for rejecting the non-bubble hypothesis. Particularly the composite indicator includes hints of bubble situations before the actual financial crisis.

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Articles in this issue

DOI: https://doi.org/10.2478/v10031-010-0013-7 | Journal eISSN: 1898-0198 | Journal ISSN: 1730-4237

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Language: English

Page range: 1 - 23

Published on: Dec 21, 2011

Published by: University of Szczecin

In partnership with: Paradigm Publishing Services

Publication frequency: 2 issues per year

Keywords:

bubbles,

explosive unit root test

Related subjects:

Business and economics,

Political economics,

Political economics, other

© 2011 Dieter Gerdesmeier, Hans-Eggert Reimers, Barbara Roffia, published by University of Szczecin
This work is licensed under the Creative Commons License.

Volume 9 (2010): Issue 1 (January 2010)