Bubbles and crashes: A tale of quantiles
本文利用分位数自回归单位根检验来识别资产价格中的周期性泡沫和崩盘，模拟和实证（比特币、美股、美国住房市场）表明该方法优于传统递归最小二乘检验。
Periodically collapsing bubbles, if they exist, induce asymmetric dynamics in asset prices. In this article, I show that unit root quantile autoregressive models can approximate such dynamics by allowing the largest autoregressive root to take values below unity at low quantiles, which correspond to price crashes, and above unity at upper quantiles, that correspond to bubble expansions. On this basis, I employ two unit root tests based on quantile autoregressions to detect bubbles. Monte Carlo simulations suggest that the two tests have good size and power properties, and can outperform recursive least‐squares‐based tests. The merits of the two tests are further illustrated in three empirical applications that examine Bitcoin, US equity and US housing markets. In the empirical applications, special attention is given to the issue of controlling for economic fundamentals. The estimation results indicate the presence of asymmetric dynamics that closely match those of the simulated bubble processes.