Stochastic modelling for financial bubbles and policy

Figures & data

Figure 1. Inflation-adjusted London house prices.

Table 1. Results testing the null hypothesis of no speculative bubble.

Date	LR-statistic	$p$-value
March 2009 – March 2014	1.075	0.141
March 2010 – March 2014	1.394	0.119
March 2011 – March 2014	1.431	0.116
Jan 2012 – March 2014	1.226	0.134

Figure 2. Greek government bond yields 2010–2012.

Table 2. Results for the test of endogenous vs. exogenous shocks (Section 3).

Start date	5/11/2009
$\widehat{\mathit{\alpha }}$	-0.535
e.s.e. $\widehat{\mathit{\alpha }}$	0.207
$t$-value	2.585
$p$-value	0.010
Conclusion	Significant evidence of an endogenous shock

Figure 3. S& P 500 (solid lines) and Federal Funds Rate (FFR) (dashed lines).

Table 3. Results for the statistical tests for bubbles

Univariate bubble model
	LR-statistic	$p$-value
S& P 500	7.454	0.001
FFR	14.601	0.000
Multivariate bubble model
	11.189	0.001
Test for contagion
	$t$-value	$p$-value
	0.746	0.456