G12 - Asset Pricing; Trading volume; Bond Interest Rates - Bank of Canada
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Bank of Canada RSS Feedsen2024-03-28T09:40:31+00:00Speculative Behaviour, Regime-Switching and Stock Market Crashes
https://www.bankofcanada.ca/1996/10/working-paper-1996-13/
This paper uses regime-switching econometrics to study stock market crashes and to explore the ability of two very different economic explanations to account for historical crashes. The first explanation is based on historical accounts of "manias and panics."1996-10-01T09:35:55+00:00enSpeculative Behaviour, Regime-Switching and Stock Market Crashes1996-10-01Financial marketsWorking Paper 1996-13 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-13.pdfSpeculative Behaviour, Regime-Switching and Stock Market CrashesSimon van NordenHuntley SchallerOctober 1996CC4C40EE4E44GG1G12Switching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach
https://www.bankofcanada.ca/1996/01/working-paper-1996-1/
Since the early 1980s, models based on economic fundamentals have been poor at explaining the movements in the exchange rate (Messe 1990). In response to this problem, Frankel and Froot (1988) developed a model that uses two approaches to forecast the exchange rate: the fundamentalist approach, which bases the forecast on economic fundamentals, and the chartist approach, which bases the forecast on the past behaviour of the exchange rate.1996-01-01T14:26:27+00:00enSwitching Between Chartists and Fundamentalists: A Markov Regime-Switching Approach1996-01-01Financial marketsWorking Paper 1996-1 https://www.bankofcanada.ca/wp-content/uploads/2010/05/wp96-1.pdfSwitching Between Chartists and Fundamentalists: A Markov Regime-Switching ApproachRobert VigfussonJanuary 1996CC4C40GG1G12