Intrinsic bubbles revisited: Evidence from nonlinear cointegration and forecasting

被引：9

作者：

Ma, Y

Kanas, A ^{[1
]}

机构：

[1] Univ Crete, Dept Econ, Rethimnon 74100, Crete, Greece

[2] Lingnan Univ, Hong Kong, Hong Kong, Peoples R China

来源：

JOURNAL OF FORECASTING | 2004年 / 23卷 / 04期

关键词：

intrinsic bubbles; nonlinear cointegration; forecasting; Kalman filter; random walk;

D O I：

10.1002/for.909

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper offers strong further empirical evidence to support the intrinsic bubble model of stock prices, developed by Froot and Obstfeld (American Economic Review, 1991), in two ways. First, our results suggest that there is a long-run nonlinear relationship between stock prices and dividends for the US stock market during the period 1871-1996. Second, we find that the out-of-sample forecasting performance of the intrinsic bubbles model is significantly better than the performance of two alternatives, namely the random walk and the rational bubbles model. Copyright (C) 2004 John Wiley Sons, Ltd.

引用

页码：237 / 250

页数：14