TAILIEUCHUNG - Applied model for financial bubbles

This paper develops a linear and tractable model of financial bubbles. It is a special simplification of a general theory of financial bubbles developed by [1]. I demonstrate the application of the linear model and study the root causes of financial bubbles. Moreover, I derive leading properties of bubbles. This model enables investors and regulators to react to market dynamics in a timely manner. In conclusion, the linear model is helpful for the empirical verification and detection of financial bubbles. | Journal of Applied Finance Banking 2015 17-26 ISSN 1792-6580 print version 1792-6599 online Scienpress Ltd 2015 Applied Model for Financial Bubbles Bodo Herzog1 Abstract This paper develops a linear and tractable model of financial bubbles. It is a special simplification of a general theory of financial bubbles developed by 1 . I demonstrate the application of the linear model and study the root causes of financial bubbles. Moreover I derive leading properties of bubbles. This model enables investors and regulators to react to market dynamics in a timely manner. In conclusion the linear model is helpful for the empirical verification and detection of financial bubbles. JEL Classification G15 E44 G18 O16 D53 Keywords Financial Bubbles Linear Model Econophysics 1 Introduction Financial bubbles have a long history in economies. Already around the 1630s a bubble known as the Tulipmania occurred in Amsterdam. This is the first documented bubble of the modern era. In the following centuries the history books are full of financial and economic bubbles especially in the US. Examples are a real estate bubble in 1816 a bubble due to the construction of the railroad system in 1837 the first Wall Street panic in 1907 the bubble 1 ESB Business School and Reutlingen Research Institute Economics Mathematics Alteburgstrasse 150 Reutlingen 72762 Germany Article Info Received February 8 2015. Revised March 4 2015 Published online May 1 2015 18 Applied Model for Financial Bubbles and Great Crash in 1929 and finally the US-housing bubble in 2006 and the subsequent financial crisis of 2007 to 2009. No doubt all bubbles had tremendous costs and negative externalities to the economic system. Moreover every bubble exacerbates volatility and fragility to the financial and economic system 2 . Thus it is of intrinsic interest to study the root causes and forces of financial bubbles today. This paper follows a newly developed interdisciplinary approach by 1 . However this paper .

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