Open Access. Powered by Scholars. Published by Universities.®

International Economics Commons

Open Access. Powered by Scholars. Published by Universities.®

Research Collection School Of Economics

Finance and Financial Management

Articles 1 - 1 of 1

Full-Text Articles in International Economics

Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu Feb 2011

Explosive Behavior In The 1990s Nasdaq: When Did Exuberance Escalate Asset Values?, Peter C. B. Phillips, Yangru Wu, Jun Yu

Research Collection School Of Economics

A recursive test procedure is suggested that provides a mechanism for testing explosive behavior, date stamping the origination and collapse of economic exuberance, and providing valid confidence intervals for explosive growth rates. The method involves the recursive implementation of a right-side unit root test and a sup test, both of which are easy to use in practical applications, and some new limit theory for mildly explosive processes. The test procedure is shown to have discriminatory power in detecting periodically collapsing bubbles, thereby overcoming a weakness in earlier applications of unit root tests for economic bubbles. An empirical application to the ...