tailieunhanh - Econometric Tests of Asset Price Bubbles: Taking Stock

These situations must be evaluated to see if there is real impairment. So, for instance, if an active market for an investment disappears because a once-public company has gone private, but the company is still in good financial position, there is no impairment. Simi- larly, a downgrade in credit rating does not mean impairment unless it is accompanied by one of the above conditions. When an impairment loss must be recorded, it is measured as the difference between the investment’s carrying value and fair value. The carrying value of the investment is reduced to fair value either directly or indirectly through an allowance. Impairment losses are not reversed. | Finance and Economics Discussion Series Divisions of Research Statistics and Monetary Affairs Federal Reserve Board Washington . Econometric Tests of Asset Price Bubbles Taking Stock Refet S. Gurkaynak 2005-04 NOTE Staff working papers in the Finance and Economics Discussion Series FEDS are preliminary materials circulated to stimulate discussion and critical comment. The analysis and conclusions set forth are those of the authors and do not indicate concurrence by other members of the research staff or the Board of Governors. References in publications to the Finance and Economics Discussion Series other than acknowledgement should be cleared with the author s to protect the tentative character of these papers. Econometric Tests of Asset Price Bubbles Taking Stock Refet S. Gurkaynak Division of Monetary Affairs Board of Governors of the Federal Reserve System Washington DC 20551 rgurkaynak@ January E2005 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 regimeswitching fundamentals while many small sample econometrics problems of bubble tests remain unresolved. The opinions expressed are those of the author and do not necessarily reflect the views of the Board of Governors or other members of its staff. I thank Jim Clouse Bill Nelson Brian Sack and Jonathan Wright for helpful suggestions. 1 Introduction Figure 1 S P Real Price 1871-2003. Figure 1 shows the real S P500 stock price index from 1871 to 2003 using annual The run up in equity prices in the late 1990 s seems extraordinary especially given the ensuing decline. Many casual commentators attributed this steep rise

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