Testing fundamentalist–momentum trader financial cycles: An empirical analysis via the Kalman filter

Autor:	Filippo Gusella, Engelbert Stockhammer
Rok vydání:	2021
Předmět:	Finance Economics and Econometrics momentum traders Momentum trader State-space representation business.industry Equity (finance) minsky Kalman filter financial cycles Empirical research Economics house prices business share prices
Zdroj:	Gusella, F & Stockhammer, E 2021, ' Testing fundamentalist–momentum trader financial cycles : An empirical analysis via the Kalman filter ', Metroeconomica, vol. 72, no. 4, pp. 758-797 . https://doi.org/10.1111/meca.12347
ISSN:	1467-999X 0026-1386
DOI:	10.1111/meca.12347
Popis:	This paper proposes an empirical test for Minskyan financial cycles in asset prices, driven by the interaction of fundamentalist and momentum traders. Both agents’ beliefs about the future are unobserved and can be modelled in a state space model. We use the Kalman filter to identify the two behavioral rules and evaluate whether the conditions for the existence of cycles hold. The model is estimated for equity and housing prices for France, Germany, the UK and the United States, for the period 1970–2017, with annual and quarterly data. We find robust empirical support for the existence of endogenous financial cycles in equity markets for all countries and for France, the UK and the United States for housing markets.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f70b8c20106ffd2cbfa25fb4128586fc https://doi.org/10.1111/meca.12347 Zobrazit plný text záznamu Plný text ve formátu PDF