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

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=9.613365&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
  • Working paper 1192-5434 96-13
Publication typeMonograph - View Master Record
Language[English]
FormatPhysical text
Other formatsDigital 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.
  • Résumés en français
Publishing information
  • Ottawa - Ontario : Bank of Canada 1996.
BindingSoftcover
Description47p. : references, tables ; 28 cm.
ISBN0-662-25160-1
ISSN1192-5434
Catalogue number
  • FB3-2/96-13E
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