메뉴 건너뛰기




Volumn 337, Issue 3-4, 2004, Pages 586-608

Causal slaving of the US treasury bond yield antibubble by the stock market antibubble of August 2000

Author keywords

Antibubble; Causality; Econophysics; Stock market; Yield

Indexed keywords

COMPETITION; CORRELATION METHODS; FEEDBACK; FINANCE; MATHEMATICAL MODELS; PUBLIC POLICY;

EID: 2342471385     PISSN: 03784371     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.physa.2004.02.009     Document Type: Article
Times cited : (24)

References (64)
  • 1
    • 85008829511 scopus 로고    scopus 로고
    • The US 2000-2002 market descent: How much longer and deeper?
    • Sornette D., Zhou W.-X. The US 2000-2002 market descent. how much longer and deeper? Quant. Finance. 2:2002;468-481.
    • (2002) Quant. Finance , vol.2 , pp. 468-481
    • Sornette, D.1    Zhou, W.-X.2
  • 2
    • 0242522929 scopus 로고    scopus 로고
    • Renormalization group analysis of the 2000-2002 antibubble in the US S&P 500 index: Explanation of the hierarchy of five crashes and prediction
    • Zhou W.-X., Sornette D. Renormalization group analysis of the 2000-2002 antibubble in the US S&P 500 index. explanation of the hierarchy of five crashes and prediction Physica A. 330:2003;584-604.
    • (2003) Physica A , vol.330 , pp. 584-604
    • Zhou, W.-X.1    Sornette, D.2
  • 3
    • 0242570128 scopus 로고    scopus 로고
    • An alternative view
    • Johansen A. An alternative view. Quant. Finance. 3:2003;C6-C7.
    • (2003) Quant. Finance , vol.3
    • Johansen, A.1
  • 4
    • 0242402750 scopus 로고    scopus 로고
    • The US 2000-2003 market descent: Clarifications
    • Sornette D., Zhou W.-X. The US 2000-2003 market descent. clarifications Quant. Finance. 3:2003;C39-C41.
    • (2003) Quant. Finance , vol.3
    • Sornette, D.1    Zhou, W.-X.2
  • 5
    • 0242607663 scopus 로고    scopus 로고
    • Evidence of a worldwide stock market log-periodic antibubble since mid-2000
    • Zhou W.-X., Sornette D. Evidence of a worldwide stock market log-periodic antibubble since mid-2000. Physica A. 330:2003;543-583.
    • (2003) Physica A , vol.330 , pp. 543-583
    • Zhou, W.-X.1    Sornette, D.2
  • 6
    • 85008770620 scopus 로고    scopus 로고
    • Significance of log-periodic precursors to financial crashes
    • Sornette D., Johansen A. Significance of log-periodic precursors to financial crashes. Quant. Finance. 1:2001;452-471.
    • (2001) Quant. Finance , vol.1 , pp. 452-471
    • Sornette, D.1    Johansen, A.2
  • 8
    • 0037379974 scopus 로고    scopus 로고
    • Critical market crashes
    • Sornette D. Critical market crashes. Phys. Rep. 378:2003;1-98.
    • (2003) Phys. Rep. , vol.378 , pp. 1-98
    • Sornette, D.1
  • 9
    • 1842512195 scopus 로고    scopus 로고
    • Endogenous versus exogenous crashes in financial markets
    • Nova Science Publishers, Hauppauge, NY, (in press)
    • A. Johansen, D. Sornette, Endogenous versus exogenous crashes in financial markets, in: Contemporary Issues in International Finance, Nova Science Publishers, Hauppauge, NY, 2004 (in press), http://arXiv.org/abs/cond- mat/0210509 .
    • (2004) Contemporary Issues in International Finance
    • Johansen, A.1    Sornette, D.2
  • 10
    • 0002377692 scopus 로고    scopus 로고
    • Aggregate disturbances, monetary policy and the macroeconomy: The FRB/US perspective
    • Reifschneider D., Tedlow R., Williams J. Aggregate disturbances, monetary policy and the macroeconomy. the FRB/US perspective Fed. Res. Bull. LXXXV:1999;1-19.
    • (1999) Fed. Res. Bull. , vol.85 , pp. 1-19
    • Reifschneider, D.1    Tedlow, R.2    Williams, J.3
  • 11
    • 0038353805 scopus 로고    scopus 로고
    • Measuring the reaction of monetary policy to the stock market
    • Rigobon R., Sack B. Measuring the reaction of monetary policy to the stock market. Q. J. Econ. 118:2003;639-669.
    • (2003) Q. J. Econ. , vol.118 , pp. 639-669
    • Rigobon, R.1    Sack, B.2
  • 14
    • 2342665436 scopus 로고    scopus 로고
    • Explaining the forward interest rate term structure
    • Matacz A., Bouchaud J.-P. Explaining the forward interest rate term structure. Int. J. Theor. Appl. Finance. 3:2000;381-389.
    • (2000) Int. J. Theor. Appl. Finance , vol.3 , pp. 381-389
    • Matacz, A.1    Bouchaud, J.-P.2
  • 15
    • 0000953078 scopus 로고    scopus 로고
    • An empirical investigation of the forward interest rate term structure
    • Matacz A., Bouchaud J.-P. An empirical investigation of the forward interest rate term structure. Int. J. Theor. Appl. Finance. 3:2000;703-729.
    • (2000) Int. J. Theor. Appl. Finance , vol.3 , pp. 703-729
    • Matacz, A.1    Bouchaud, J.-P.2
  • 16
    • 0001119285 scopus 로고    scopus 로고
    • The predictive power of the term structure of interest rates in Europe and the United States: Implications for the European Central Bank
    • Estrella A., Mishkin F.S. The predictive power of the term structure of interest rates in Europe and the United States. implications for the European Central Bank Eur. Econ. Rev. 41:1997;1375-1401.
    • (1997) Eur. Econ. Rev. , vol.41 , pp. 1375-1401
    • Estrella, A.1    Mishkin, F.S.2
  • 17
    • 0039066423 scopus 로고    scopus 로고
    • Predicting US recessions: Financial variables as leading indicators
    • Estrella A., Mishkin F.S. Predicting US recessions. financial variables as leading indicators Rev. Econ. Stat. 80:1998;45-61.
    • (1998) Rev. Econ. Stat. , vol.80 , pp. 45-61
    • Estrella, A.1    Mishkin, F.S.2
  • 18
    • 0010061067 scopus 로고    scopus 로고
    • Interest rate spreads as predictors of German inflation and business cycles
    • Ivanova D., Lahiri K., Seitz F. Interest rate spreads as predictors of German inflation and business cycles. Int. J. Forecasting. 16:2000;39-58.
    • (2000) Int. J. Forecasting , vol.16 , pp. 39-58
    • Ivanova, D.1    Lahiri, K.2    Seitz, F.3
  • 20
    • 0036101346 scopus 로고    scopus 로고
    • Predicting recessions with interest rate spreads: A multicountry regime-switching analysis
    • Ahrens R. Predicting recessions with interest rate spreads. a multicountry regime-switching analysis J. Int. Money Finance. 21:2002;519-537.
    • (2002) J. Int. Money Finance , vol.21 , pp. 519-537
    • Ahrens, R.1
  • 21
    • 0242680102 scopus 로고    scopus 로고
    • How stable is the predictive power of the yield curve? Evidence from Germany and the United States
    • Estrella A., Rodrigues A.P., Schich S. How stable is the predictive power of the yield curve? Evidence from Germany and the United States. Rev. Econ. Stat. 85:2003;629-644.
    • (2003) Rev. Econ. Stat. , vol.85 , pp. 629-644
    • Estrella, A.1    Rodrigues, A.P.2    Schich, S.3
  • 22
    • 0036000679 scopus 로고    scopus 로고
    • A reexamination of the predictability of economic activity using the yield spread
    • Hamilton J.D., Kim D.H. A reexamination of the predictability of economic activity using the yield spread. J. Money Credit Bank. 34:2002;340-360.
    • (2002) J. Money Credit Bank , vol.34 , pp. 340-360
    • Hamilton, J.D.1    Kim, D.H.2
  • 23
    • 2142644651 scopus 로고    scopus 로고
    • Financial variables and real activity in Canada
    • Hassapis C. Financial variables and real activity in Canada. Canad. J. Econ. 36:2003;421-442.
    • (2003) Canad. J. Econ. , vol.36 , pp. 421-442
    • Hassapis, C.1
  • 24
    • 0032235804 scopus 로고    scopus 로고
    • Financial market variables do not predict real activity
    • Thoma M.A., Gray J.A. Financial market variables do not predict real activity. Econ. Inq. 36:1998;522-539.
    • (1998) Econ. Inq. , vol.36 , pp. 522-539
    • Thoma, M.A.1    Gray, J.A.2
  • 25
    • 0035993079 scopus 로고    scopus 로고
    • Financial market variables do not predict real activity: Further evidence
    • Weber C.E. Financial market variables do not predict real activity. further evidence Econ. Inq. 40:2002;80-90.
    • (2002) Econ. Inq. , vol.40 , pp. 80-90
    • Weber, C.E.1
  • 26
    • 0012598275 scopus 로고    scopus 로고
    • Predicting US recessions with leading indicators via neural network models
    • Qi M. Predicting US recessions with leading indicators via neural network models. Int. J. Forecasting. 17:2001;383-401.
    • (2001) Int. J. Forecasting , vol.17 , pp. 383-401
    • Qi, M.1
  • 27
    • 0036115607 scopus 로고    scopus 로고
    • This is what the leading indicators lead
    • Camacho M., Perez-Quiros G. This is what the leading indicators lead. J. Appl. Econ. 17:2002;61-80.
    • (2002) J. Appl. Econ. , vol.17 , pp. 61-80
    • Camacho, M.1    Perez-Quiros, G.2
  • 28
    • 0035003829 scopus 로고    scopus 로고
    • Linkages between property asset returns and interest rates: Evidence for the UK
    • Brooks C., Tsolacos S. Linkages between property asset returns and interest rates. evidence for the UK Appl. Econ. 33:2001;711-719.
    • (2001) Appl. Econ. , vol.33 , pp. 711-719
    • Brooks, C.1    Tsolacos, S.2
  • 29
    • 0036791376 scopus 로고    scopus 로고
    • Predicting a recession: Evidence from the yield curve in the presence of structural breaks
    • Chauvet M., Potter S. Predicting a recession. evidence from the yield curve in the presence of structural breaks Econ. Lett. 77:2002;245-253.
    • (2002) Econ. Lett. , vol.77 , pp. 245-253
    • Chauvet, M.1    Potter, S.2
  • 30
    • 0038269630 scopus 로고    scopus 로고
    • Predicting national and regional recessions using probit modeling and interest-rate spreads
    • Shoesmith G.L. Predicting national and regional recessions using probit modeling and interest-rate spreads. J. Regional Sci. 43:2003;373-392.
    • (2003) J. Regional Sci. , vol.43 , pp. 373-392
    • Shoesmith, G.L.1
  • 32
    • 0034372615 scopus 로고    scopus 로고
    • Identifying the bottom line after a stock market crash
    • Roehner B.M. Identifying the bottom line after a stock market crash. Int. J. Mod. Phys. C. 11:2000;91-100.
    • (2000) Int. J. Mod. Phys. C , vol.11 , pp. 91-100
    • Roehner, B.M.1
  • 33
    • 0347372458 scopus 로고    scopus 로고
    • Using the yield curve to time the stock market
    • Resnick B.G., Shoesmith G.L. Using the yield curve to time the stock market. Finance Anal. J. 58:2002;82-90.
    • (2002) Finance Anal. J. , vol.58 , pp. 82-90
    • Resnick, B.G.1    Shoesmith, G.L.2
  • 34
    • 0012889728 scopus 로고
    • Chicago, IL: Dearborn Financial Publishing Inc.
    • Fosback N.G. Stock Market Logic. 1992;Dearborn Financial Publishing Inc. Chicago, IL.
    • (1992) Stock Market Logic
    • Fosback, N.G.1
  • 35
    • 25344446943 scopus 로고    scopus 로고
    • Log-periodic route to fractal functions
    • Gluzman S., Sornette D. Log-periodic route to fractal functions. Phys. Rev. E. 65:2002;036142.
    • (2002) Phys. Rev. E , vol.65 , pp. 036142
    • Gluzman, S.1    Sornette, D.2
  • 38
    • 0032364421 scopus 로고    scopus 로고
    • Evidence of discrete scale invariance by canonical averaging
    • Johansen A., Sornette D. Evidence of discrete scale invariance by canonical averaging. Int. J. Mod. Phys. C. 9:1998;433-447.
    • (1998) Int. J. Mod. Phys. C , vol.9 , pp. 433-447
    • Johansen, A.1    Sornette, D.2
  • 39
    • 0036344159 scopus 로고    scopus 로고
    • Statistical significance of periodicity and log-periodicity with heavy-tailed correlated noise
    • Zhou W.-X., Sornette D. Statistical significance of periodicity and log-periodicity with heavy-tailed correlated noise. Int. J. Mod. Phys. C. 13:2002;137-170.
    • (2002) Int. J. Mod. Phys. C , vol.13 , pp. 137-170
    • Zhou, W.-X.1    Sornette, D.2
  • 40
    • 0346265157 scopus 로고    scopus 로고
    • Significance of log-periodic signatures in cumulative noise
    • Bothmer H.-C.G.V. Significance of log-periodic signatures in cumulative noise. Quant. Finance. 3:2003;370-375.
    • (2003) Quant. Finance , vol.3 , pp. 370-375
    • Bothmer, H.-C.G.V.1
  • 41
    • 0034526169 scopus 로고    scopus 로고
    • Artifactual log-periodicity in finite-size data: Relevance for earthquake aftershocks
    • Huang Y., Johansen A., Lee M.W., Saleur H., Sornette D. Artifactual log-periodicity in finite-size data. relevance for earthquake aftershocks J. Geophys. Res. 105:2000;25451-25471.
    • (2000) J. Geophys. Res. , vol.105 , pp. 25451-25471
    • Huang, Y.1    Johansen, A.2    Lee, M.W.3    Saleur, H.4    Sornette, D.5
  • 42
    • 0036565865 scopus 로고    scopus 로고
    • Evidence of intermittent cascades from discrete hierarchical dissipation in turbulence
    • Zhou W.-X., Sornette D. Evidence of intermittent cascades from discrete hierarchical dissipation in turbulence. Physica D. 165:2002;94-125.
    • (2002) Physica D , vol.165 , pp. 94-125
    • Zhou, W.-X.1    Sornette, D.2
  • 43
    • 0037491681 scopus 로고    scopus 로고
    • New evidence of discrete scale invariance in the energy dissipation of three-dimensional turbulence: Correlation approach and direct spectral detection
    • Zhou W.-X., Sornette D., Pisarenko V.F. New evidence of discrete scale invariance in the energy dissipation of three-dimensional turbulence. correlation approach and direct spectral detection Int. J. Mod. Phys. C. 14:2003;459-470.
    • (2003) Int. J. Mod. Phys. C , vol.14 , pp. 459-470
    • Zhou, W.-X.1    Sornette, D.2    Pisarenko, V.F.3
  • 44
    • 85008796801 scopus 로고    scopus 로고
    • More on a statistical analysis of log-periodic precursors to financial crashes
    • Feigenbaum J.A. More on a statistical analysis of log-periodic precursors to financial crashes. Quant. Finance. 1:2001;527-532.
    • (2001) Quant. Finance , vol.1 , pp. 527-532
    • Feigenbaum, J.A.1
  • 45
    • 41349118484 scopus 로고    scopus 로고
    • Generalized q -analysis of log-periodicity: Applications to critical ruptures
    • Zhou W.-X., Sornette D. Generalized. q -analysis of log-periodicity applications to critical ruptures Phys. Rev. E. 66:2002;046111.
    • (2002) Phys. Rev. E , vol.66 , pp. 046111
    • Zhou, W.-X.1    Sornette, D.2
  • 46
    • 1842582449 scopus 로고    scopus 로고
    • Non-parametric analyses of log-periodic precursors to financial crashes
    • Zhou W.-X., Sornette D. Non-parametric analyses of log-periodic precursors to financial crashes. Int. J. Mod. Phys. C. 14:2003;1107-1126.
    • (2003) Int. J. Mod. Phys. C , vol.14 , pp. 1107-1126
    • Zhou, W.-X.1    Sornette, D.2
  • 47
    • 0346885923 scopus 로고    scopus 로고
    • Evidence of fueling of the 2000 new economy bubble by foreign capital inflow: Implications for the future of the US economy and its stock market
    • Sornette D., Zhou W.-X. Evidence of fueling of the 2000 new economy bubble by foreign capital inflow. implications for the future of the US economy and its stock market Physica A. 332:2004;412-440.
    • (2004) Physica A , vol.332 , pp. 412-440
    • Sornette, D.1    Zhou, W.-X.2
  • 48
    • 0141920825 scopus 로고    scopus 로고
    • 2000-2003 real estate bubble in the UK but not in the USA
    • Zhou W.-X., Sornette D. 2000-2003 real estate bubble in the UK but not in the USA. Physica A. 329:2003;249-263.
    • (2003) Physica A , vol.329 , pp. 249-263
    • Zhou, W.-X.1    Sornette, D.2
  • 49
    • 0347948898 scopus 로고    scopus 로고
    • Punctuated vortex coalescence and discrete scale invariance in two-dimensional turbulence
    • Johansen A., Sornette D., Hansen A.E. Punctuated vortex coalescence and discrete scale invariance in two-dimensional turbulence. Physica D. 138:2000;302-315.
    • (2000) Physica D , vol.138 , pp. 302-315
    • Johansen, A.1    Sornette, D.2    Hansen, A.E.3
  • 50
    • 0031273052 scopus 로고    scopus 로고
    • Large financial crashes
    • Sornette D., Johansen A. Large financial crashes. Physica A. 245:1997;411-422.
    • (1997) Physica A , vol.245 , pp. 411-422
    • Sornette, D.1    Johansen, A.2
  • 51
    • 0033422769 scopus 로고    scopus 로고
    • Financial "anti-bubbles": Log-periodicity in Gold and Nikkei collapses
    • Johansen A., Sornette D. Financial "anti-bubbles" log-periodicity in Gold and Nikkei collapses Int. J. Mod. Phys. C. 10:1999;563-575.
    • (1999) Int. J. Mod. Phys. C , vol.10 , pp. 563-575
    • Johansen, A.1    Sornette, D.2
  • 53
    • 0000448397 scopus 로고    scopus 로고
    • Discrete scale invariance and complex dimensions
    • Sornette D. Discrete scale invariance and complex dimensions. Phys. Rep. 297:1998;239-270.
    • (1998) Phys. Rep. , vol.297 , pp. 239-270
    • Sornette, D.1
  • 54
    • 0000607890 scopus 로고    scopus 로고
    • Imprints of log-periodic self-similarity in the stock market
    • Drozdz S., Ruf F., Speth J., WojcikM M. Imprints of log-periodic self-similarity in the stock market. Eur. Phys. J. B. 10:1999;589-593.
    • (1999) Eur. Phys. J. B , vol.10 , pp. 589-593
    • Drozdz, S.1    Ruf, F.2    Speth, J.3    Wojcikm, M.4
  • 55
    • 0002044715 scopus 로고    scopus 로고
    • Predicting financial crashes using discrete scale invariance
    • Johansen A., Sornette D., Ledoit O. Predicting financial crashes using discrete scale invariance. J. Risk. 1:1999;5-32.
    • (1999) J. Risk , vol.1 , pp. 5-32
    • Johansen, A.1    Sornette, D.2    Ledoit, O.3
  • 56
    • 2342607241 scopus 로고
    • The theory and construction of non-differentiable functions
    • E.W. Hobson, H.P. Hudson, A.N. Singh, A.B. Kempe (Eds.), Chelsea Publishing Company, New York
    • A.N. Singh, The theory and construction of non-differentiable functions, in: Squaring the Circle and other Monographs, E.W. Hobson, H.P. Hudson, A.N. Singh, A.B. Kempe (Eds.), Chelsea Publishing Company, New York, 1953.
    • (1953) Squaring the Circle and Other Monographs
    • Singh, A.N.1
  • 57
    • 0000955099 scopus 로고
    • On the Weierstrass-Mandelbrot fractal function
    • Berry M.V., Lewis Z.V. On the Weierstrass-Mandelbrot fractal function. Proc. R. Soc. A. 370:1980;459-484.
    • (1980) Proc. R. Soc. A , vol.370 , pp. 459-484
    • Berry, M.V.1    Lewis, Z.V.2
  • 58
    • 0031653313 scopus 로고    scopus 로고
    • String formulation of the dynamics of the forward interest rate curve
    • Sornette D. String formulation of the dynamics of the forward interest rate curve. Eur. Phys. J. B. 3:1998;125-137.
    • (1998) Eur. Phys. J. B , vol.3 , pp. 125-137
    • Sornette, D.1
  • 59
    • 0035586168 scopus 로고    scopus 로고
    • The dynamics of the forward interest rate curve with stochastic string shocks
    • Santa-Clara P., Sornette D. The dynamics of the forward interest rate curve with stochastic string shocks. Rev. Financial Stud. 14:2001;149-185.
    • (2001) Rev. Financial Stud. , vol.14 , pp. 149-185
    • Santa-Clara, P.1    Sornette, D.2
  • 60
    • 0039860731 scopus 로고    scopus 로고
    • Finite q -differences and the discrete renormalization group
    • Erzan A. Finite. q -differences and the discrete renormalization group Phys. Lett. A. 225:1997;235-238.
    • (1997) Phys. Lett. A , vol.225 , pp. 235-238
    • Erzan, A.1
  • 61
    • 4243510295 scopus 로고    scopus 로고
    • q-analysis of fractal sets
    • Erzan A., Eckmann J.P. q-analysis of fractal sets Phys. Rev. Lett. 87:1997;3245-3248.
    • (1997) Phys. Rev. Lett. , vol.87 , pp. 3245-3248
    • Erzan, A.1    Eckmann, J.P.2
  • 62
    • 55349102097 scopus 로고    scopus 로고
    • E. Ghysels, N.R. Swanson, M.W. Watson, P. Hammond, A. Holly (Eds.), Causality, Integration and Cointegration, and Long Memory: Collected Papers of C.W.J. Granger, Cambridge University Press, Cambridge
    • C.W.J. Granger, in: E. Ghysels, N.R. Swanson, M.W. Watson, P. Hammond, A. Holly (Eds.), Essays in Econometrics: Vol. 2, Causality, Integration and Cointegration, and Long Memory: Collected Papers of C.W.J. Granger, Cambridge University Press, Cambridge, 2001.
    • (2001) Essays in Econometrics , vol.2
    • Granger, C.W.J.1
  • 63
    • 70350118403 scopus 로고
    • Inference and Causality in Economic Time Series Models
    • H.V. Griliches, M.D. Intriligator (Eds.), Elsevier Science Publishers BV, North-Holland, (Chapter 19)
    • J. Geweke, Inference and Causality in Economic Time Series Models, in: H.V. Griliches, M.D. Intriligator (Eds.), Handbook of Econometrics, Vol. 2, Elsevier Science Publishers BV, North-Holland, 1984 (Chapter 19).
    • (1984) Handbook of Econometrics , vol.2
    • Geweke, J.1
  • 64
    • 2342606267 scopus 로고    scopus 로고
    • Testing the stability of the 2000-2003 US stock market "Antibubble"
    • submitted
    • W.-X. Zhou, D. Sornette, Testing the stability of the 2000-2003 US stock market "Antibubble", J. Forecasting, http://arXiv.org/abs/cond-mat/ 0310092, submitted.
    • J. Forecasting
    • Zhou, W.-X.1    Sornette, D.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.