Simon van Norden - Latest

• 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

• Reconsidering Cointegration in International Finance: Three Case Studies of Size Distortion in Finite Samples

  Staff Working Paper 1997-1 Marie-Josée Godbout, Simon van Norden

  This paper reconsiders several recently published but controversial results about the behaviour of exchange rates. In particular, it explores finite-sample problems in the application of cointegration tests and shows how these may have affected the conclusions of recent research.

  Content Type(s): Staff research, Staff working papers Topic(s): Econometric and statistical methods JEL Code(s): C, C1, C15, C2, C22, C3, C32, F, F3, F31