One would think that economists would by now have already developed
a solid grip on how financial bubbles form and how to measure and
compare them. This is not the case. Despite the thousands of
articles in the professional literature and the millions of times
that the word "bubble" has been used in the business press, there
still does not appear to be a cohesive theory or persuasive
empirical approach with which to study "bubble" and "crash"
conditions. This book presents what is meant to be a plausible and
accessible descriptive theory and empirical approach to the
analysis of such financial market conditions. It advances such a
framework through application of standard econometric methods to
its central idea, which is that financial bubbles reflect urgent
short side rationed demand. From this basic idea, an elasticity of
variance concept is developed. The notion that easy credit provides
fuel for bubbles is supported. It is further shown that a
behavioral risk premium can probably be measured and related to the
standard equity risk premium models in a way that is consistent
with conventional theory.
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