A new test for testing and differentiating explosive/bubble processes

主讲人：王少平（华中科技大学）

主持人：（国发院）沈艳、黄卓、孙振庭、张俊妮

              （北大新结构经济学研究院）胡博

              （经济学院）王一鸣、王熙、刘蕴霆

时间：2022年4月29日（周五）10:00 AM —11:30 AM

腾讯会议：887-194-497

报告摘要：

This study proposes a new test for differentiating /testing explosive (bubble) process from a unit root process with a partial quadratic trend on an unknown break date, denoted as a URQ process herein, which is similar to an explosive process. To this end, we provide a URQ test for differentiating these two processes. We develop the corresponding limiting distributions under the local-to-unity hypothesis. We also extend the URQ test to allow for time-varying variance. Monte Carlo simulations suggest that the tests have a good finite sample performance and confirm that our proposed test can differentiate a URQ process and an explosive process. The proposed test is applied to the stock prices of Apple, Alibaba, Kweichow Moutai, and PingAn Insurance Company of China (PAIC), which exhibit striking price rises during their respective sample periods, similar to an explosive process. We conclude that an improvement in the fundamental value rather than irrational exuberance mainly drives the drastic price rises.

主讲人简介：

王少平，清华大学博士。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、J 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，5篇省优秀博士论文。多次获得省部社科优秀成果奖。