A new test for testing and differentiating explosive bubble processes

报告人：王少平

报告地点：腾讯会议ID:280-790-544

报告时间：2022年11月1日星期二10:30-11:30

报告摘要:

This study focuses on differentiating an explosive bubble process from

a unit root process with a partial quadratic trend on an unknown break date, denoted

as a URQ process herein. We propose a DBF test for differentiating these two similar

processes. We develop the corresponding limiting distributions under the local-to-unity

hypothesis which covers the null of URQ, the stationary and explosive root alternatives.

Simulations suggest that the tests have a good finite sample performance and confirm

our proposed test can differentiate URQ processes and explosive bubble processes. The

DBF test is applied to the stock prices of Kweichow Moutai and Apple, which exhibit

striking price rises during their respective sample periods, similar to an explosive bubble

process. However, the empirical results suggest that an improvement in the fundamental

value rather than irrational exuberance mainly drives such drastic price rises.

主讲人简介：

王少平，华中科技大学经济学院教授。主要研究领域为计量经济学及其对中国经济和金融问题的应用。

近年来，在中国社会科学、经济研究、Journal of Econometric, Econometric Journal, Economic letter, Financial Research Letter 等国内外期刊发表论文多篇。指导两篇全国百篇优秀博士论文（2010和2012年），5篇省优秀博士论文。多次获得省部优秀社会科学成果奖：一等奖2次（中国工业能源调整的长期战略与短期措施，2009；中国通货膨胀的相依性周期，2016年12月）；二等奖2次；三等奖2次。