Speculative bubbles in present-value models: A Bayesian Markov-switching state space approach
该研究在现值模型框架下，用贝叶斯马尔可夫转换状态空间方法估计投机泡沫的生存与崩溃动态，发现真实股价泡沫具有显著马尔可夫转换结构，且泡沫变动能解释股价股息比和未预期回报的大部分波动。
We estimate the dynamics of a speculative bubble subject to a surviving and a collapsing regime together with the dynamics of dividends and returns in a tractable state space specification of the present-value model. To estimate this new high-dimensional model, we develop an efficient Markov chain Monte Carlo sampler to simulate from the joint posterior distribution. We find that real-world stock price bubbles show significant Markov-switching structure. Further, the results indicate that dividend growth rates are highly predictable. Finally, we find that bubble variation explains a large share of the variation in the price-dividend ratio and unexpected return.