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Speculative behaviour, regime-switching and stock market crashes / by Simon van Norden and Huntley Schaller.: FB3-2/96-13E-PDF

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.... The second explanation is based on switches in fundamentals.--Abstract

Permanent link to this Catalogue record:
publications.gc.ca/pub?id=9.571644&sl=0

Publication information
Department/Agency
  • Bank of Canada.
TitleSpeculative behaviour, regime-switching and stock market crashes / by Simon van Norden and Huntley Schaller.
Series title
  • Bank of Canada working paper 1701-9397 96-13
Publication typeMonograph - View Master Record
Language[English]
FormatDigital text
Electronic document
Other formatsPhysical text-[English]
Note(s)
  • "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".... The second explanation is based on switches in fundamentals."--Abstract. N.B.: Incorrect ISBN (0-662-25160-1) printed in this publication.
  • Résumé en français.
Publishing information
  • Ottawa - Ontario : Bank of Canada October 1996.
Description60p.graphs, references, tables
ISSN1701-9397
Catalogue number
  • FB3-2/96-13E-PDF
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