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The methods modify a technique proposed in Phillips, Wu, and Yu () and provide a technology for identifying bubble behavior with consistent dating of their.
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‘Rapid, serial dating’ a no-go even as people expand their pandemic bubbles: Dr. Henry
Skip to search form Skip to main content You are currently offline. Some features of the site may not work correctly. DOI: Phillips and J.
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Dating the Timeline of Financial Bubbles During the Subprime Crisis
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The Dos and Don’ts of ‘Quarantine Pods’
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Peter C. A new recursive regression methodology is introduced to analyze the bubble characteristics of various financial time series during the subprime crisis. The methods modify a technique proposed in Phillips, Wu, and Yu and provide a technology for identifying bubble behavior with consistent dating of their origination and collapse. The tests serve as an early warning diagnostic of bubble activity and a new procedure is introduced for testing bubble migration across markets.
Three relevant financial series are investigated, including a financial asset price a house price index , a commodity price the crude oil price , and one bond price the spread between Baa and Aaa. Statistically significant bubble characteristics are found in all of these series. The empirical estimates of the origination and collapse dates suggest a migration mechanism among the financial variables. A bubble emerged in the real estate market in February After the subprime crisis erupted in , the phenomenon migrated selectively into the commodity market and the bond market, creating bubbles which subsequently burst at the end of , just as the effects on the real economy and economic growth became manifest.
Our empirical estimates of the origination and collapse dates and tests of migration across markets match well with the general dateline of the crisis put forward in the recent study by Caballero, Farhi, and Gourinchas a. Financial bubbles, crashes, date stamping, explosive behavior, migration, mildly explosive process, subprime crisis, timeline. Quantitative Economics. Research Collection School Of Economics.