Abstract
© 2015 Elsevier Inc. In this paper we use a recently developed econometric test to identify bubble-like price behaviour in the gold market. We find that the price of gold followed an explosive price process between 2002 and 2012 and exhibited super-exponential growth between 2002 and 2008, indicating excessive speculative trading and exuberance in the gold market. We also provide a theoretical foundation for such bubble tests based on a behavioural model in which chartists can cause episodes of explosive price dynamics.The identification strategy yields economically intuitive results and is a simple alternative to using more complex estimation techniques commonly used in the heterogeneous agents literature.
Original language | English |
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Pages (from-to) | 63-71 |
Journal | International Review of Financial Analysis |
Volume | 39 |
DOIs | |
Publication status | Published - 2015 |