ECONOMETRIC TESTS OF ASSET PRICE BUBBLES: TAKING STOCK*

Abstract

Abstract Can asset price bubbles be detected? This survey of econometric tests of asset price bubbles shows that, despite recent advances, econometric detection of asset price bubbles cannot be achieved with a satisfactory degree of certainty. For each paper that finds evidence of bubbles, there is another one that fits the data equally well without allowing for a bubble. We are still unable to distinguish bubbles from time‐varying or regime‐switching fundamentals, while many small sample econometrics problems of bubble tests remain unresolved.

Identifiers

DOI

10.1111/j.1467-6419.2007.00530.x

Citations and references