We introduce a simple generalization of rational bubble models which removes the fundamental problem discovered by [Lux and Sornette, 1999] that the distribution of returns is a power law with exponent less than 1, in contradiction with empirical data. Our model predicts that, the higher is the market remuneration above the discount rate, the thinner is the tail of price returns but the larger ...

The presence of rational price bubbles during the German hyperinflation is tested under two different structural assumptions on the money process. If the money supply is constrained to be exogenous to the current inflation rate, the hypothesis of no bubble can be rejected. However, this is no longer found to be true when a feedback rule from inflation to money creation is allowed. The analysis ...

The aim of this paper is to propose a heterogeneous agent model of stock markets that develop complicated endogenous price fluctuations. We find occurrences of non-stationary chaos, or speculative bubble, are caused by the heterogeneity of traders’ strategies. Furthermore, we show that the distributions of returns generated from the heterogeneous agent model have fat tails, a remarkable stylize...

We analyze short-term futures oil pricing over the 2003-2016 time-period in order to bubble-like dynamics, which characterizes 2007-2009 years according a large body of recent literature. Our investigation, based on flexible three-agent model (hedgers, fundamentalist speculators and chartists), confirms presence bubble price pattern, we attribute strong destabilizing behaviour (e.g. hedge funds...

the frequent occurrence of currency crises in recent years brought the early warning literature back in the researchers spotlight. in recent years, concept of an early warning system (ews) developed that should be able to identify various costly events, such as currency crises, early enough for policy makers to reduce the costs. this study attempted by using iran's economy quarterly data d...

Digital Image Analysis (DIA) has been employed to characterize the time evolution of a bubble injected from a single orifice into a pseudo 2-dimansional gas-solid fluidized bed. The injected bubble diameter increased with the square root of time before detachment. During bubble free flight in the bed, its diameter remains approximately constant. The center of mass of the bubble increases with t...

The paper models the links between financial fragility, asset markets and monetary policy. It is shown that central bank’s concern about the cost of financial disruption may generate an asymmetric response, thus contributing to the creation of an asset price bubble. In an economy with a highly leveraged financial structure, the central bank has an incentive to prevent a “run” on financial inter...