Rational Bubbles Theoretical Basis, Economic Relevance, and Empirica
3 On the Economic Relevance of Rational Bubbles 79 3. 1 Capital markets . . . . . . . . . 80 3. 1. 1 Efficient capital markets 86 3. 1. 2 Rational bubbles on capital markets. 93 3. 1. 3 Economic caveats . 103 3. 2 Foreign exchange markets 109 3. 3 Hyperin
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Springer-Verlag Berlin Heidelberg GmbH
Matthias Salge
Rational Bubbles Theoretical Basis, Economic Relevance, and Empirical Evidence with a Special Emphasis on the German Stock Market
Springer
Author Dr. Matthias Salge Kirchhainer Strasse 44 D-60433 FrankfurtlMain Germany
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Die Deutsche Bibliothek - CIP-Einheitsaufnahme
Salge, Matthias:
Rational bubbles : theoretical basis, economic relevance, and empirical evidence with a special emphasis on the German stock market / Matthias Salge. - Berlin; Heidelberg ; New York; Barcelona ; Budapest ; Hong Kong ; London ; Milan ; Paris; Santa Clara; Singapore; Tokyo: Springer, 1997 (Lecture notes in economics and mathematical systems ; 451) Zugl.: Kiel, Univ., Diss., 1996 ISBN 978-3-540-62629-9 ISBN 978-3-642-59181-5 (eBook) DOI 10.1007/978-3-642-59181-5
NE:GT
ISSN 0075-8442 ISBN 978-3-540-62629-9 This work is subject to copyright. All rights are reserved, whether the whole or part of the material is concemed, specifically the rights of translation, reprinting, re-use of illustrations, recitation, broadcasting, reproduction on microfilms or in any other way, and storage in data banks. Duplication of this publication or parts thereof is permitted only under the provisions of the German Copyright Law of September 9, 1965, in its current version, and permission for use must always be obtained from Springer-Verlag. Violations are Iiable for prosecution under the German Copyright Law. © Springer-Verlag Berlin Heidelberg 1997 Originally published by Springer-Verlag Berlin Heidelberg New York in 1997
The use of general descriptive names, registered names, trademarks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. Typesetting: Camera ready by author SPIN: 10546757 42/3142-543210 - Printed on acid-free paper
Acknowledgements This paper would not have been completed without external help. I am gratefully indebted to my supervisor Prof. Dr. Seidl for his continuous support of my research activities during my years at the 'Institut fiir Finanzwissenschaft und Sozialpolitik'. Especially, from the discussion within various research seminars of this institute I have benefited immensely. I would like to thank Prof. Dr. Hansen for improving my insights in statistical and econometrical issues. To both researchers lowe thanks for valuably commenting and refereeing this thesis. Furthermore, I want to thank Kathrin Fach for reading and correcting an earlier draft of this book. Thom Stevens deserves special thanks for improving my English style, without doubt a hard job. Finally, this paper is dedicated to my wife Gabi for her patience and assistance while this paper was completed. December, 1996
Matthias Salge
Contents 1 Introduction
1
2 On the Theoretical Derivability of Rational Bubbles
5
2.1
Statistical framework .
7
2.2
Rational expectations .
12
2.3
Solution procedure
