Asset Price Volatility, Bubbles, and Process Switching
探讨资产价格波动是否由投机泡沫引起，指出某些方差界检验排除了泡沫解释，实际证据可能源于模型设定错误或统计检验不当，并举例说明政策转换可产生类似泡沫的价格行为。
ABSTRACT Evidence of excess volatilities of asset prices compared with those of market fundamentals is often attributed to speculative bubbles. This study demonstrates that bubbles could in theory lead to excess volatility, but it shows that certain variance bounds tests preclude bubbles as an explanation. The evidence ought to be attributed to model misspecification or inappropriate statistical tests. One important misspecification occurs if a researcher incorrectly specifies the time series properties of market fundamentals. A bubble‐free example economy characterized by a potential switch in government policies produces asset prices that would appear, to an unwary researcher, to contain bubbles.