Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5084814 | International Review of Financial Analysis | 2015 | 34 Pages |
Abstract
In this paper we use a recently developed econometric test to identify bubble-like price behaviour in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 and exhibited super-exponential growth between 2002 and 2008, indicating excessive speculative trading and exuberance in the gold market. We also provide a theoretical foundation for such bubble tests based on a behavioural model in which chartists can cause episodes of explosive price dynamics.The identification strategy yields economically intuitive results and is a simple alternative to using more complex estimation techniques commonly used in the heterogeneous agents literature.
Related Topics
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Authors
Dirk G. Baur, Kristoffer J. Glover,