On the Economic Relevance of Rational Bubbles

1997 ◽  
pp. 79-122 ◽  
Author(s):  
Matthias Salge
Keyword(s):  
Rational Bubbles

Rational Bubbles and Middlemen

2019 ◽  
Author(s):  
Yu Awaya ◽  
Kohei Iwasaki ◽  
Makoto Watanabe
Keyword(s):  
Rational Bubbles

scholarly journals On Rational Bubbles and Fat Tails

2000 ◽  
Author(s):  
Thomas Lux ◽  
Didier Sornette
Keyword(s):  
Fat Tails ◽  
Rational Bubbles

ASSESSING PRE-CRISIS FUNDAMENTALS IN SELECTED ASIAN STOCK MARKETS

2005 ◽  
Vol 50 (02) ◽  
pp. 175-196 ◽  
Author(s):  
EE LENG LAU ◽  
G. K. RANDOLPH TAN ◽  
SHAHIDUR RAHMAN
Keyword(s):  
Kalman Filter ◽  
Emerging Markets ◽  
State Space ◽  
Stock Prices ◽  
Stock Markets ◽  
Bubble Formation ◽  
State Space Model ◽  
Space Model ◽  
Rational Bubbles ◽  
Space Formulation

In the folklore of emerging markets, there is a popular belief that bubbles are inevitable. In this paper, our objective is to estimate a state-space model for rational bubbles in selected Asian economies with the aid of the Kalman Filter. For each economy, we derive a possible picture of the bubble formation process that is implied by the state-space formulation. The estimation is based on the rational valuation formula for stock prices. Our results provide a possible way of defining the presence of rational bubbles in the stock markets of Taiwan, Singapore, Korea, and Malaysia.

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