This paper addresses the statistical properties of time series driven by rational bubbles à la Blanchard and Watson (1982). Using insights on the behavior of multiplicative stochastic processes, we demonstrate that the tails of the unconditional distribution emerging from such bubble processes follow power-laws (exhibit hyperbolic decline). More precisely, we find that rational bubbles predict ...

The Nasdaq fell another ≈ 10% on Friday the 14’th of April 2000 signaling the end of a remarkable speculative high-tech bubble starting in spring 1997. The closing of the Nasdaq at 3321 corresponds to a total loss of over 35% since its all-time high of 5133 on the 10’th of March 2000. Similarities to the speculative bubble preceding the infamous crash of October 1929 are quite striking: The bel...

The presence of bubbles in the markets and its formation has been regarded by economists and they have been looking to develop methods that can be recognized by using appropriate method for the formation of bubbles. In this paper, first, the formation of bubbles is tested using the new unit root test known as Phillips test (Generalized Sup ADF test) for 50 companies in the Tehran Stock Exchange...

a r t i c l e i n f o Keywords: Loss aversion Downward housing price rigidity Monetary policy Threshold error correction model Asymmetric adjustment Previous studies have discovered the defensive characteristics of housing prices, which is also known as downward price rigidity. This paper discusses whether this feature would result in an asymmetric relationship between housing prices and moneta...

The success of flotation operation depends upon the thriving interactions of chemical and physical variables. In this work, the effects of particle size, bubble size, and collector dosage on the bubble loading in a continuous flotation column were investigated. In other words, this work was mainly concerned with the evaluation of the true flotation response to the changes in the operating varia...

Is the cross-sectional distribution of house prices close to a (log)normal distribution, as is often assumed in empirical studies on house price indexes? How does the distribution evolve over time? To address these questions, we investigate the cross-sectional distribution of house prices in the Greater Tokyo Area. We find that house prices (Pi) are distributed with much fatter tails than a log...

Motivated by the behavior of internet stock prices in 1998-2000, we present a continuous time equilibrium model of bubbles where overconfidence generates agreements to disagree among agents about asset fundamentals. With a short-sale constraint, an asset owner has an option to sell the asset to other agents when they have more optimistic beliefs. This re-sale option has a recursive structure, t...

An experimental study has been carried out to characterize bubble formation, growth, and detachment mechanisms in a stagnant liquid column. Both bubble frequency and bubble detachment size were measured in different gas flow rates, injector diameters and orientations, submergence height, and liquid properties. Experiments were performed for air injection flow rate ranges between 200 mlph and 12...

This paper aims to examine whether a bubble is present in the housing market of China. Thus, we use the housing price-to-income ratios and housing price-to-rent ratios of 35 cities from 1998 to 2010. The methods of the panel KSS unit root test with a Fourier function and the SPSM process are likewise used. The panel KSS unit root test with a Fourier function considers the problem of non-lineari...