Do 18th century ‘bubbles’ survive the scrutiny of 21st century time series econometrics?

C-Tier
Journal: Economics Letters
Year: 2018
Volume: 162
Issue: C
Pages: 131-134

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

Applying the methods of Phillips et al. (2015, PSY), while considering the possibility of non-stationary volatility (Harvey et al., 2016), evidence of exuberance in share prices is confirmed for the South Sea Company, and established for a number of other 18th century financial organisations, for the first time. The timings of these bubble episodes show signs of possible contagion.

Technical Details

RePEc Handle
repec:eee:ecolet:v:162:y:2018:i:c:p:131-134
Journal Field
General
Author Count
2
Added to Database
2026-01-26