Using 27 years of data this paper considers short-run, bi-lateral, and long-run, linkages between the US, UK and nine European equity markets. Using time-varying parameter and multivariate cointegration modelling techniques, ...

Using 54 years of US quarterly data and a VAR model underpinned by a theory of the relationship between stock prices and output, this paper considers the deviations of US stock prices from their fundamental value. To do ...

Much of bubble literature centred on financial markets. Dominant theory – if prices deviate from fundamental value for some time then a bubble is said to exist. Bubbles usually characterised in three main ways: ● momentum: ...

This paper studies actual house prices relative to fundamental house prices. Using UK data and a time-varying present value approach, we find that deviations of house prices from their fundamental value (as warranted by ...