TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
TESTING FOR MULTIPLE BUBBLES: HISTORICAL EPISODES OF EXUBERANCE AND COLLAPSE IN THE S&P 500
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DOI：
10.1111/iere.12132
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发表时间：
2015-11-01
影响因子：
1.5
通讯作者：
Yu, Jun
中科院分区：
文献类型：
--
作者：
Phillips, Peter C. B.;Shi, Shuping;Yu, Jun
最近关于计量经济学检测机制的研究表明，递归程序在真实的时间内识别和确定金融泡沫的有效性。这些程序可作为中央银行和财政监管机构利用实时数据进行监测战略的预警。由于同一样本期内多重泡沫现象所固有的非线性结构和破裂机制的复杂性，在较长的历史时期内使用这些方法提出了更严重的计量经济学挑战。为了应对这一挑战，本文开发了一种新的递归灵活窗口方法，更适合于长历史时间序列的实际实现。该方法是菲利普斯埃塔尔的增广Dickey-Fuller（ADF）检验的推广。（20世纪90年代的爆炸性行为纳斯达克：繁荣何时提升了资产价值？International Economic Review 52（2011），201-26; PWY），并为多个泡沫的产生和终止提供一致的实时日期戳策略。模拟表明，该测试显着提高了区分能力，并在出现多个气泡时导致明显的功率增益。该方法的实证应用进行标准普尔500指数股票市场数据在一个很长的历史时期，从1871年1月至2010年12月。新的方法成功地确定了著名的历史事件的繁荣和崩溃在这一时期，而战略的PWY和相关的累积和（Cumulative sum）测年程序定位少得多的事件在同一样本范围内。
Recent work on econometric detection mechanisms has shown the effectiveness of recursive procedures in identifying and dating financial bubbles in real time. These procedures are useful as warning alerts in surveillance strategies conducted by central banks and fiscal regulators with real-time data. Use of these methods over long historical periods presents a more serious econometric challenge due to the complexity of the nonlinear structure and break mechanisms that are inherent in multiple-bubble phenomena within the same sample period. To meet this challenge, this article develops a new recursive flexible window method that is better suited for practical implementation with long historical time series. The method is a generalized version of the sup augmented Dickey-Fuller (ADF) test of Phillips etal. (Explosive behavior in the 1990s NASDAQ: When did exuberance escalate asset values? International Economic Review 52 (2011), 201-26; PWY) and delivers a consistent real-time date-stamping strategy for the origination and termination of multiple bubbles. Simulations show that the test significantly improves discriminatory power and leads to distinct power gains when multiple bubbles occur. An empirical application of the methodology is conducted on S&P 500 stock market data over a long historical period from January 1871 to December 2010. The new approach successfully identifies the well-known historical episodes of exuberance and collapses over this period, whereas the strategy of PWY and a related cumulative sum (CUSUM) dating procedure locate far fewer episodes in the same sample range.