Dating the timeline of financial bubbles during the subprime crisis

Quantitative Economics

Volumn 2, Issue 3, 2011, Pages 455-491

  Phillips, Peter C B ^a,b,c,d   Yu, Jun ^d  

^a YALE UNIVERSITY   (United States)

^b UNIVERSITY OF AUCKLAND   (New Zealand)

^c UNIVERSITY OF SOUTHAMPTON   (United Kingdom)

^d SINGAPORE MANAGEMENT UNIVERSITY   (Singapore)

Author keywords

Crashes; Date stamping; Explosive behavior; Financial bubbles; Migration; Mildly explosive process; Subprime crisis; Timeline

Indexed keywords

EID: 84860324982     PISSN: 17597323     EISSN: 17597331     Source Type: Journal    
DOI: 10.3982/QE82     Document Type: Article

References (24)

1. Baker, D. (2002), "The run-up in home prices: Is it real or is it another bubble?" Working paper, Center for Economic and Policy Research
2. Brunnermeier, M. K. (2009), "Deciphering the 2007-08 liquidity and credit crunch. Journal of Economic Perspectives, 23, 77-100. DOI: 10.1257/jep.23.1.77
3. Caballero, R. J., E. Farhi, and P.-O. Gourinchas (2008a), "Financial crash, commodity prices and global imbalances. Brookings Papers on Economic Activity, Fall, 1-55.
4. Caballero, R. J., E. Farhi, and P.-O. Gourinchas (2008b), "An equilibrium model of "global imbalances" and low interest rates. American Economic Review, 98, 358-393. DOI: 10.1257/aer.98.1.358
5. Callis, R. and L. Cavanaugh (2007), "Census Bureau Reports on residential vancancies and homeownership." U.S. Census Bureau
6. Campbell, J. Y., A. W. Lo, and A. C. MacKinlay (1997), The Econometrics of Financial Markets. Princeton University Press, Princeton, New Jersey
7. Campbell, J. Y. and R. J. Shiller (1988), "Stock prices, earnings, and expected dividends. Journal of Finance, 43, 661-676. DOI: 10.2307/2328190
8. Davis, M. A., A. Lehnert, and R. F. Martin (2008), "The rent-price ratio for the aggregate stock of owner-occupied housing. Review of Income and Wealth, 54, 279-284. DOI: 10.1111/j.1475-4991.2008.00274.x
9. Economist Newspaper Limited (2005), "After the fall." Economist, June 18.
10. Economist Newspaper Limited (2008), "The end of the affair." Economist, November 22.
11. Evans, G. W. (1991), "Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81, 922-930.
12. Greenlaw, D., J. Hatzius, A. Kashyap, and H. S. Shin (2008), "Leveraged losses: Lessons from the mortgage market meltdown." U.S. Monetary Policy Forum Report 2.
13. Hull, J. (2008), "The credit crunch of 2007: What went wrong? Why? What lessons can be learned?" Working paper, Rotman School of Management, University of Toronto
14. Lee, J.-H. and P. C. B. Phillips (2011), "Asset pricing with financial bubble risk." Working paper, Yale University
15. Phillips, P. C. B. (1987), "Time series regression with a unit root. Econometrica, 55, 277-301. DOI: 10.2307/1913237
16. Phillips, P. C. B. (1996), "Econometric model determination. Econometrica, 64, 763-812. DOI: 10.2307/2171845
17. Phillips, P. C. B. (2008), "Unit root model selection. Journal of the Japan Statistical Society, 38, 65-74.
18. Phillips, P. C. B. and T. Magdalinos (2007a), "Limit theory for moderate deviations from a unit root. Journal of Econometrics, 136, 115-130. DOI: 10.1016/j.jeconom.2005.08.002
19. Phillips, P. C. B. and T. Magdalinos (2007b), "Limit theory for moderate deviations from unity under weak dependence." In The Refinement of Econometric Estimation and Test Procedures: Finite Sample and Asymptotic Analysis (G. D. A. Phillips and E. Tzavalis, eds.) 123-162. Cambridge University Press, Cambridge DOI: 10.1017/CBO9780511493157.008
20. Phillips, P. C. B. and T. Magdalinos (2009), "Unit root and cointegrating limit theory when initialization is in the infinite past. Econometric Theory, 25, 1682-1715.
21. Phillips, P. C. B., S. Shi, and J. Yu (2011), "Testing for multiple bubbles." Working paper, Yale University
22. Phillips, P. C. B., Y. Wu, and J. Yu (2011), "Explosive behavior in the 1990s Nasdaq: When did exuberance escalate asset values? International Economic Review, 52, 201-226. DOI: 10.1111/j.1468-2354.2010.00625.x
23. Phillips, P. C. B. and J. Yu (2009), "Limit theory for dating the origination and collapse of mildly explosive periods in time series data." Unpublished manuscrip, Sim Kee Boon Institute for Financial Economics, Singapore Management University
24. Schwarz, G. (1978), "Estimating the dimension of a model. Annals of Statistics, 6, 461-464. DOI: 10.1214/aos/1176344136