سعید راسخی میلاد شهرازی زهرا میلاعلمی


به طور کلی، کشف صحیح حباب‎های قیمتی دارایی‏ها به دلیل نااطمینانی در شناسایی دقیق عوامل بنیادین و تصادفی بودن آنها پیچیده و دشوار است. به ویژه، اگر حباب‏ها ذاتی بوده و به بنیادها وابسته باشند، تصریح صحیح معادله حباب دشوارتر می‏شود. بسیاری از روش‎هایی که تاکنون جهت آزمون حباب‏های قیمتی به کار گرفته شده‎اند، به دلایل مختلفی مورد انتقاد قرار گرفته‎اند. در این راستا، مطالعه حاضر با تشکیل یک الگوی فضای حالت غیرخطی از تکنیک فیلتر کالمن نقطه سیگما (SPKF) برای اندازه‌گیری حباب‎های قیمتی در بازار ارز غیررسمی ایران در بازه زمانی 1394:06-1381:01 استفاده کرده است. نتایج نشان می‏دهد که‏ بخش قابل توجهی از تغییرات نرخ ارز در این دوره زمانی، به خصوص در دهه 1390، به دلیل تشکیل حباب‎های قیمتی بوده است. در این چارچوب، بیشترین سهم حباب‌ها در تغییرات نرخ ارز نیز مربوط به ماه مهر سال 1391 بوده است، به طوری‎که حدود 61 درصد از افزایش نرخ ارز در این ماه در مقایسه با ماه قبل به حباب قیمتی نسبت داده شده است. به علاوه، در سال 1394، حباب‏های نرخ ارز بسیار ناچیز و ارزش بازاری نرخ ارز نزدیک به ارزش بنیادی آن بوده است.

جزئیات مقاله

[1] Balke, N.S., & Wohar, M.E. (2009). Market fundamentals versus rational bubbles in stock prices: a Bayesian perspective, Journal of Applied Econometrics, 24(1), 35-75.
[2] Battalio, R., & Schultz, P. (2006). Options and the Bubble, Journal of Finance, 61, 2071-2102.
[3] Bettendorf, T., & Chen, W. (2013). Are There Bubbles in the Sterling-Dollar Exchange Rate? New Evidence from Sequential ADF Test. Freie universitat Berlin, Discussion Paper Economics.
[4] Bhar, R., & Chiarella, C. (2007). A Model for the Ex-Ante UK Stock Market Risk Premium. Journal of Applied Quantitative Methods, 5(4), 599-606.
[5] Blanchard, O.J., & Watson, M.W. (1982). Bubbles, Rational Expectations and Financial Markets. NBER Working Paper, No. 945.
[6] Bohl, M.T., Kaufmann, P., & Siklos, P.L. (2015). What drove the mid-2000s explosiveness in alternative energy stock prices? Evidence from U.S., European and global indices. International Review of Financial Analysis, 40: 194-206.
[7] Campbell, J.Y., & Shiller, R.J. (1988). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1, 195–228.
[8] Central Bank of Iran, http://cbi.ir/.
[9] Chan, K., McQueen, G., & Thorley, S. (1998). Are There Rational Speculative Bubbles in Asian Stock Markets? Pacific-Basin Finance Journal, 6, 125-151.
[10] Chang, T., G. Aye, & R. Gupta. (2014). Testing for Multiple Bubbles in the BRICS Stock Markets. University of Pretoria, Working Paper.
[11] Charemza, W.W., & Deadman, D.F. (1995). Bubbles with Stochastic Explosive Roots: the Failure of Unit Root Testing. Journal of Empirical Finance, 2, 153-163.
[12] Cochrane, J.H. (1992). Explaining the Variance of Price-Dividend Ratios. Review of Financial Studies, 5(2), 243-80.
[13] Costa, P.J., & Moore, W.H. (1989). Extended Kalman-Buq filters for spacecraft dynamics estimation using radar measurements. In K. P. Schwan (Ed.), Proceeding of the I989 Spacecraft Surveillance Workshop, M.I.T. Lincoln Laboratory, 1989, 181-190.
[14] Cunado, J., Gil-Alana, L.A., & de Gracia, F.P. (2005). A test for rational bubbles in the NASDAQ stock index: A fractionally integrated approach. Journal of Banking and Finance, 29, 2633-2654.
[15] Dezhbakhsh, H., & Demirguc-Kunt, A. (1990). On the Presence of Speculative Bubbles in Stock Prices. Journal of Financial and Quantitative Analysis, 25, 101-112.
[16] Diba, B.T., & Grossman, H.I. (1988a). Explosive Rational Bubbles in Stock Prices? American Economic Review, 78, 520-530.
[17] Diba, B.T., & Grossman, H.I. (1988b). The Theory of Rational Bubbles in Stock Prices. Economic Journal, 98(3), 746-754.
[18] Drake, L. (1993). Modelling UK House Prices Using Co-integration: An Application of the Johansen Technique. Applied Economics, 25, 1225-1228.
[19] Driffill, J., & Sola, M. (1998). Intrinsic bubbles and regime switching. Journal of Monetary Economics, 42(2), 357-373.
[20] Ebrahimi Sarv Olia, M.H., Fallah Shams, M.F., & Azarang, SH. (2012). Investigation of determinants on price bubbles in Tehran stock exchange. Journal of Investment Knowledge, 1(4), 47-60.
[21] Engsted, T. (2006). Explosive bubbles in the co integrated VAR model. Finance Research Letters, 3, 154-162.
[22] Englund, P. (1999). The Swedish Banking Crisis: Roots and Consequences. Oxford Review of Economic Policy, 15, 80-97.
[23] Evans, G.W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81, 922-930.
[24] Fallah Shams, M.F., & Zare, A. (2013). A study on the factors effective in the formation of price bubbles in Tehran stock exchange. Journal of Securities Exchange, 21, 73-91.
[25] Fantazzini, D. (2016). The oil price crash in 2014/15: Was there a (negative) financial bubble? Energy Policy, 96, 383-396.
[26] Flood, R.P., & P.M. Garber. (1994). Speculative Bubbles, Speculative Attacks, and Policy Switching. MIT Press, Cambridge (Mass).
[27] Froot, K. A. & Obstfeld, M. (1991). Intrinsic Bubbles: The Case of Stock Prices. American Economic Review, 81(5), 1189-214.
[28] Garber, P.M. (2000). Famous First Bubbles: The Fundamentals of Early Manias. Cambridge, MA: MIT Press.
[29] Hatipoglu, O., & Uyar, O. (2012). Do Bubbles Spill Over? Estimating Financial Bubbles in Emerging Markets. Emerging Markets Finance and Trade, 48(5), 64-75.
[30] Herrera, S. & Perry, G. (2003). Tropical Bubbles: Asset Prices in Latin America, 1980-2001. Asset Price Bubbles: The Implications for Monetary, Regulatory, and Intertnational Plicies, Cambridge, MA: MIT Press, 127-162.
[31] Hu, Y., & Oxley, L. (2017). Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling.
[32] Julier, S., & Uhlmann, J. (2004). Unscented Kalman Filtering and Nonlinear Estimation. Proceedings of the IEEE, 92(3), 401-422.
[33] Kamyab, B. (2009). Reaction of monetary policy to housing price bubble. MA thesis, Bu Ali Sina University: Department of Economics.
[34] Kizys, R., & Pierdzioch, Ch. (2011). The Financial Crisis and the Stock Markets of the CEE Countries. Czech Journal of Economics and Finance, 61(2), 153-172.
[35] Koustas, Z., & Serletis, A. (2005). Rational Bubbles or Persistent Deviations from Market Fundamentals? Journal of Banking and Finance, 29, 1-15.
[36] Lamont, O. (1998). Earnings and Expected returns. Journal of Finance, 53, 1563-1587.
[37] Lau, E.L., Tan, G.K.R., & Rahman, S. (2005). Assessing Pre-Crisis Fundamentals in Selected Asian Stock Markets. The Singapore Economic Review, 50(2), 175-196.
[38] LeRoy, S.F., & Porter,R.D. (1981). The Present-Value Relation: Tests Based on Implied Variance Bounds”, Econometrica, 49, 555-577.
[39] Lucas, R.E. (1978). Asset Prices in an Exchange Economy. Econometrica, 46, 1429-1445.
[40] Lux, T. & Sornette, D. (1999). On Rational Bubbles and Fat Tails. Journal of Money, Credit and Banking, 34(3), 589-610.
[41] Madelat, K. (2002). Study of the Tehran stock price bubble in recent years. Economic Research Series, 20, 1-24.
[42] McQueen, G.R., Thorley, S. (1994). Bubbles, Stock Returns, and Duration Dependence. Journal of Financial and Quantitative Analysis, 29, 379-401.
[43] Meese, R.A. (1986).Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates? Journal of Political Economy, 94(2), 345-373.
[44] Monsef, A.A., Ghassemei, M.R., & Rezaeiyan, E. (2014). Rational Bubble in Iran Foreign Exchange Market. Journal of Economic Development Research, 4(13), 111-138.
[45] Najand, M., & Bond, CH. (2000). Structural models of exchange rate determination. Journal of Multinational Financial Management, 10, 15-27.
[46] Nason, J.M., & Rogers, J.H. (2008). Exchange Rates and Fundamentals: A Generalization. Federal Reserve Bank Working Paper Series of Atlanta. Working Paper 2008-16.
[47] Nasseh, A., & Strauss, J. (2004). Stock Prices and the Dividend Discount Model: Did their Relationship break down in the 1990s? The Quarterly Review of Economics and Finance, 44(2), 191-207.
[48] Nunes, M., & Silva, S.D. (2007). Rational Bubbles in Emerging Stock Markets. MPRA Paper2007, 4641, 1-10.
[49] Pavlidis, E.G., Paya, I., & Peel, D.A. (2012). A New Test for Rational speculative Bubbles using Forward Exchange Rates: The Case of the Interwar German Hyperinflation. Department of Economics, Lancaster university Management school, UK.
[50] Phillips, P.C.B., Shi, S., & Yu, J. (2012). Testing for Multiple Bubbles. Cowles Foundation Discussion Paper, NO.1843.
[51] Rappoport, P., & White, E.N. (1993). Was There a Bubble in the 1929 Stock Market?” Journal of Economic History, 53(3), 549-574.
[52] Rasekhi, S., & Shahrazi, M. (2014). An Examination of Multiple Bubbles: A Case Study of Iranian Housing Market. Journal of Economic Modeling, 1(2), 1-14.
[53] Rasekhi, S., Shahrazi, M., & Elmi, Z.M. (2016). Detecting the Price Bubbles Periods: A Case Study of Tehran Stock Exchange Market. Quarterly Journal of Quantitative Economics, 13(3), 25-55.
[54] Salazar, N., Steiner, R., Becerra, A. & Ramírez, J. (2013). Los Efectos Del Precio Del Suelo Sobre el Precio De la Vivienda Para Colombia. Ensayos Sobre Política Económica, Forthcoming.
[55] Samadi, S., Vaez Barzani, M., & Ghasemi, M. (2010). Behavior analysis of forming bubble price in asset market in Tehran Stock Exchange from 1376-1387. Economics Research, 10(4), 273-297.
[56] Shiller, R.J. (1981). Do stock price move too much to be justified by subsequent changes in dividends? American Economic Review, 71, 421-436.
[57] Soltani, A. (2007). Studying stock price bubbles in Tehran Stock Exchange. PhD thesis, School of Management and Accounting, Shahid Beheshti University.
[58] Taylor, M. & Peel, D. (1998). Periodically Collapsing Stock Price Bubbles: A Robust Test. Economics Letters, 61, 221-228.
[59] West, K.D. (1987). A Specification Test for Speculative Bubbles. The Quarterly Journal of Economics, 3, 553-580.
[60] Wang, ZH. W., & Wang, CH. Y. (2011). A kalman-filtering analysis of exchange rate bubbles. Journal of South Asia, 31, 365-388.
[61] Wu, Y. (1995). Are there rational bubbles in foreign exchange markets? Evidence from an alternative test”, Journal of International Money and Finance, 14(1), 27-46.
[62] Wu, Y. (1997). Rational Bubbles in the Stock Market: Accounting for the U.S. Stock-Price Volatility. Economic Inquiry, 35(2), 309-319.
[63] Xiao, Q., & Randolph, G.k. (2007). Signal Extraction with Kalman Filter: A Study of the Hong Kong Property Price Bubbles. Urban Studies, (44), 4865-888.
[64] Zhao, Y., Chang, H. l., Su, Ch. W., & Nian, R. (2015). Gold bubbles: When are they most likely to occur? Japan and the World Economy, 34, 17-23.
ارجاع به مقاله
راسخیس., شهرازیم., & میلاعلمیز. (۱۳۹۷-۰۲-۱۰). برآورد حباب قیمتی در بازار ارز ایران با استفاده از الگوی فضای حالت غیرخطی: کاربردی از فیلترکالمن نقطه سیگما (SPKF). پژوهش های اقتصاد پولی، مالی, 25(15), 33-50. https://doi.org/10.22067/pm.v25i15.54315
نوع مقاله