Title:Bubblebusters - Chasing the Ghost of Global Vagabonding Bubbles
Author:Christian Drescher
WP Series:Economic Discussion Paper Series, No. 05-10, University of Bayreuth
Abstract:The paper identifies rational asset bubbles in corporate equity, real estate, fixed income and commodity markets in order to draw a roadmap of global vagabonding bubbles. The employed quasi real-time procedure dates the beginning and ending of rational asset bubbles using right-sided forward recursive ADF tests. The empirical analysis yields the following conclusions. Firstly, rational asset bubbles appear frequently worldwide in all asset classes. Secondly, the average length of rational asset bubbles varies across all asset classes and countries. Thirdly, rational asset bubbles tend to be clustered in corporate equity, real estate and commodity markets.
Key words:asset bubbles, unit root tests, simulation method
JEL class.:C15, F21, G12