Can Emerging Asset Price Bubbles be Detected?:
Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to the bursting of asset price bubbles in OECD economies. A large set of variables put forward in the literature is assessed, as well as interactions of these variables with estimate...
Gespeichert in:
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| Format: | Elektronisch E-Book |
| Sprache: | English |
| Veröffentlicht: |
Paris
OECD Publishing
2010
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| Schriftenreihe: | OECD Economics Department Working Papers
no.772 |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Zusammenfassung: | Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to the bursting of asset price bubbles in OECD economies. A large set of variables put forward in the literature is assessed, as well as interactions of these variables with estimates of asset price misalignments to evaluate the importance of the different channels postulated by theory. The results indicate that asset price misalignments are not robust determinants of house price reversals unless their interaction with other characteristics of the economy (credit growth, population growth and interest rate developments) is taken into account. On the other hand, stock price reversals are affected by misalignments, as well as other real and monetary variables. Out-of-sample prediction exercises provide evidence that dealing explicitly with model uncertainty using Bayesian model averaging techniques leads to better forecasts of reversals in asset prices than relying on model selection. Conclusions regarding the importance of dealing quantitatively with model uncertainty are drawn to improve the anticipation of asset price reversals. |
| Beschreibung: | 1 Online-Ressource (37 p.) 21 x 29.7cm. |
| DOI: | 10.1787/5kmdfmztmqtj-en |
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| spelling | Crespo Cuaresma, Jesús Crespo VerfasserIn aut Can Emerging Asset Price Bubbles be Detected? Jesús Crespo, Crespo Cuaresma = Peut-on détecter les bulles naissantes des prix des actifs ? / Jesús Crespo, Crespo Cuaresma Peut-on détecter les bulles naissantes des prix des actifs ? Paris OECD Publishing 2010 1 Online-Ressource (37 p.) 21 x 29.7cm. Text txt rdacontent Computermedien c rdamedia Online-Ressource cr rdacarrier OECD Economics Department Working Papers no.772 Bayesian Model Averaging techniques are used to analyse how robustly it is possible to identify factors that may lead to the bursting of asset price bubbles in OECD economies. A large set of variables put forward in the literature is assessed, as well as interactions of these variables with estimates of asset price misalignments to evaluate the importance of the different channels postulated by theory. The results indicate that asset price misalignments are not robust determinants of house price reversals unless their interaction with other characteristics of the economy (credit growth, population growth and interest rate developments) is taken into account. On the other hand, stock price reversals are affected by misalignments, as well as other real and monetary variables. Out-of-sample prediction exercises provide evidence that dealing explicitly with model uncertainty using Bayesian model averaging techniques leads to better forecasts of reversals in asset prices than relying on model selection. Conclusions regarding the importance of dealing quantitatively with model uncertainty are drawn to improve the anticipation of asset price reversals. Economics FWS01 ZDB-13-SOC FWS_PDA_SOC https://doi.org/10.1787/5kmdfmztmqtj-en Volltext |
| spellingShingle | Crespo Cuaresma, Jesús Crespo Can Emerging Asset Price Bubbles be Detected? Economics |
| title | Can Emerging Asset Price Bubbles be Detected? |
| title_alt | Peut-on détecter les bulles naissantes des prix des actifs ? |
| title_auth | Can Emerging Asset Price Bubbles be Detected? |
| title_exact_search | Can Emerging Asset Price Bubbles be Detected? |
| title_full | Can Emerging Asset Price Bubbles be Detected? Jesús Crespo, Crespo Cuaresma = Peut-on détecter les bulles naissantes des prix des actifs ? / Jesús Crespo, Crespo Cuaresma |
| title_fullStr | Can Emerging Asset Price Bubbles be Detected? Jesús Crespo, Crespo Cuaresma = Peut-on détecter les bulles naissantes des prix des actifs ? / Jesús Crespo, Crespo Cuaresma |
| title_full_unstemmed | Can Emerging Asset Price Bubbles be Detected? Jesús Crespo, Crespo Cuaresma = Peut-on détecter les bulles naissantes des prix des actifs ? / Jesús Crespo, Crespo Cuaresma |
| title_short | Can Emerging Asset Price Bubbles be Detected? |
| title_sort | can emerging asset price bubbles be detected |
| topic | Economics |
| topic_facet | Economics |
| url | https://doi.org/10.1787/5kmdfmztmqtj-en |
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