Huntley Schaller

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Fads or Bubbles?

Staff Working Paper 1997-2 Huntley Schaller, Simon van Norden
This paper tests between fads and bubbles using a new empirical strategy (based on switching-regression econometrics) for distinguishing between competing asset-pricing models. By extending the Blanchard and Watson (1982) model, we show how stochastic bubbles can lead to regime-switching in stock market returns.
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): C, C4, C40, G, G1, G12

Speculative Behaviour, Regime-Switching and Stock Market Crashes

Staff Working Paper 1996-13 Simon van Norden, Huntley Schaller
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."
Content Type(s): Staff Research, Staff Working Papers Topic(s): Financial markets JEL Code(s): C, C4, C40, E, E4, E44, G, G1, G12

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