Financial Market Bubbles and Crashes

ISBN-13: 9780521199674 / Angielski / Twarda / 2009 / 384 str.

Harold L. Vogel

Opis

One would think that economists would by now have already developed a solid grip on how financial bubbles form and how to measure and compare them. This is not the case. Despite the thousands of articles in the professional literature and the millions of times that the word bubble has been used in the business press, there still does not appear to be a cohesive theory or persuasive empirical approach with which to study bubble and crash conditions. This book presents what is meant to be a plausible and accessible descriptive theory and empirical approach to the analysis of such financial market conditions. It advances such a framework through application of standard econometric methods to its central idea, which is that financial bubbles reflect urgent short side rationed demand. From this basic idea, an elasticity of variance concept is developed. The notion that easy credit provides fuel for bubbles is supported. It is further shown that a behavioral risk premium can probably be measured and related to the standard equity risk premium models in a way that is consistent with conventional theory."

Recenzje

'… the intent of this study to conduct an exploration and analysis that might eventually lead to a robust, unified general theory applicable to all types and sizes of asset-price bubbles is more than welcome. … the book is easily accessible and provides an exciting introduction into this up-to-date topic. … a readable introduction into an exciting and relevant topic.' Journal of Economics and Statistics

Spis treści

Part I. Background for Analysis: 1. Introduction; 2. Bubble stories; 3. Random walks; 4. Bubble theories; 5. Framework for investigation; Part II. Empirical Features and Results: 6. Bubble basics; 7. Bubble dynamics; 8. Money and credit features; 9. Behavioral risk features; 10. Crashes, panics, and chaos; 11. Financial asset bubble theory.