Source Themes

exuber: Recursive Right-Tailed Unit Root Testing with R

This paper introduces the R package exuber for testing and date-stamping periods of mildly explosive dynamics (exuberance) in time series. The package computes test statistics for the supremum ADF test (SADF) of Phillips, Wu, and Yu (2011), the …

Speculative Bubbles in Segmented Markets: Evidence from Chinese Cross-Listed Stocks

We propose a novel approach for testing for rational speculative bubbles in segmented capital markets. The basic idea is that, under capital controls, heterogeneity of speculative expectations across international equity markets causes financial …

Commercial Real Estate, Housing and the Business Cycle

The 2007-08 financial crisis exposed the magnitude through which distortions in residential and commercial real estate markets can spillover to the goods markets and the real economy. This paper develops an RBC model with a consumption good and a …

Real Estate and Monetary Policy: Residential and Commercial

Residential and commercial real estate account for a substantial share of both household wealth and capital stock in the EU countries and the US. More specifically in the US, one-third of household net worth is held in residential real estate, whilst …