Slow boom, sudden crash

Journal of Economic Theory

Volumn 124, Issue 2, 2005, Pages 230-257

  Veldkamp, Laura L ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Asymmetry; Crashes; Information dynamics; Skewness

Indexed keywords

EID: 27644570692     PISSN: 00220531     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jet.2003.12.008     Document Type: Article

References (21)

1. F. Allen, S. Morris, H.S. Shin, Beauty contests, bubbles and iterated expectations in asset markets, Cowles Foundation Working Paper, 2003.
2. A. Banerjee A simple model of herd behavior Quart. J. Econ. 107 3 1992 797-817
3. G. Bekaert G. Wu Asymmetric volatility and risk in equity markets Rev. Finan. Stud. 13 1 2000 1-42
4. S. Bikhchandani, D. Hirshleifer, I. Welch, A theory of fads, fashion, custom, and cultural change as information cascades, J. Polit. Economy 100 (1992) 992-1026.
5. M. Boldrin D. Levine Growth cycles and market crashes J. Econ. Theory 96 2001 13-39
6. J. Campbell L. Hentschel No news is good news: An asymmetric model of changing volatility in asset returns J. Finan. Econ. 31 1992 281-318
7. A. Caplin, J. Leahy, Business as usual: Market crashes, and wisdom after the fact, Amer. Econ. Rev. 84 (3) (1994) 548-565.
8. M. Chalkley I.H. Lee Learning and asymmetric business cycles Rev. Econ. Dynam. 1 1998 623-645
9. C. Chamley D. Gale Information revelation and strategic delay in a model of investment Econometrica 62 5 1994 1065-1085
10. J. Cox S. Ross The valuation of options for alternative stochastic processes J. Finan. Econ. 3 1-2 1976 145-166
11. J. Hamilton A new approach to the econometric analysis of nonstationary times series and the business cycle Econometrica 57 1989 357-384
12. M. Hinich Testing for gaussianity and linearity of a stationary time series J. Time Ser. Anal. 3 1982 169-176
13. C. Jacklin A. Kleidon P. Pfleiderer Underestimation of portfolio insurance and the crash of october 1987 Rev. Finan. Stud. 5 1 1992 35-63
14. A. Pagan The econometrics of financial markets J. Empirical Finance 3 1 1996 15-102
15. J. Ramsey P. Rothman Time irreversibility and business cycle asymmetry J. Money Credit Banking 28 1 1996 1-21
16. N. Stokey R. Lucas Recursive Methods in Economic Dynamics 1989 Harvard University Press Cambridge, MA
17. S. Van Nieuwerburgh, L. Veldkamp, Learning asymmetries in real business cycles, NYU Stern Working Paper, 2003.
18. P. Veronesi Stock market overreactions to bad news in good times: A rational expectations equilibrium model Rev. Finan. Stud. 12 5 1999 975-1007
19. I. Welch Sequential Sales learning and cascades J. Finance 47 2 1992 695-732
20. J. Zeira Informational cycles Rev. Econ. Stud. 61 1994 31-44
21. J. Zeira Informational overshooting booms and crashes, J. Monet. Econ. 43 1999 237-257