Fundamental and non-fundamental asset price dynamics: Where do we stand?

14-15 February 2008

The purpose of this workshop is to bring together papers that explore the state of the art in our understanding of asset price behavior. Topics to be considered include:

  • stock price and real estate price bubbles;
  • herding and noise trading in stock markets;
  • other anomalies in asset prices;
  • sentiment driven behavior of individual and institutional investors;
  • asset price dynamics: implications for monetary policy and regulatory frameworks.

Organized by: Martin T. Bohl, Westfälische Wilhelms-University Münster, Germany; Pierre L. Siklos, Wilfrid Laurier University and Viessmann European Research Centre, Waterloo, Canada; and Norges Bank, Norway

Keynote speakers: Michael D. Bordo and Eugene N. White, Rutgers University, USA

Location: The workshop will take place on February 14 – 15, 2008, at the Norges Bank’s conference centre Venastul, near Lillehammer, Norway, site of the 1994 Winter Olympics.

Program

Wednesday, February 13

18.00 - 19.00 Registration and get-together

19.00 Dinner

Thursday, February 14

Opening Session

9:00 – 9:15 Words of Welcome

Session I Asset Price Bubbles and Real Estate Price Dynamics

Chair: Øyvind Eitrheim, Norges Bank

9:15 – 10:00 Rational and Near-Rational Bubbles Without Drift

Kevin J. Lansing, Federal Reserve Bank of San Francisco
Discussant: Kjersti-Gro Lindquist, Norges Bank

10:00 – 10:45

Explosive Behavior of the 1990 NASDAQ Bubble: When Did Exuberance Escalate Asset Values?
Peter C. B. Phillips, Yangru Wu and Jun Yu, Yale University, Rutgers University and Singapore Management University

Discussant: Gernot Doppelhofer, Rheinische Friedrich-Wilhelms-University Bonn

10:45 – 11:15 Coffee Break

11:15 – 12:00 Is There Excess Comovement in the U.S. Real Estate Markets?

Jarl Kallberg, Crocker H. Liu and Paolo Pasquariello, Thunderbird School of International Management, Arizona State University and University of Michigan

Discussant: Pierre L. Siklos, Wilfrid Laurier University

12:00 – 13:00: Keynote Speaker: Lessons from The Great American Real Estate Bubble: Florida 1926

Eugene N. White, Rutgers University

13:00 – 14:00 Lunch

Session II Investors’ Behavior and Stock Price Modelling

Chair: Martin T. Bohl, Westfälische Wilhelms-University Münster

14:00 – 14:45 Is Talk Cheap Online: Strategic Interaction in a Stock Trading Chat Room

Jie Lu and Bruce Mizrach, Rutgers University

Discussant:Johannes Skjeltorp, Norges Bank

14:45 – 15:30 Institutional Investors, Intangible Information and the Book-to-Market Effect

Hao Jiang, RSM Erasmus University

Discussant: Sigbjørn A. Berg, Norges Bank

15:30 – 16:00 Coffee Break

16:00 – 16:45 Switching Volatility in Target Stocks during Takeover Bids

Sergey Gelman and Bernd Wilfling, Westfälische Wilhelms-University Münster

Discussant: Farooq Akram, Norges Bank

16:45 – 17:30 The Determinants of Stock and Bond Return Comovements

Lieven Baele, Geert Bekaert and Koen Inghelbrecht, Tilburg University, Columbia University, Ghent University

19.00 Dinner

Friday, February 15

PhD Session

Chair: Farooq Akram, Norges Bank

8:30 – 9:00 Sovereign Spreads and Currency Crises: A Markov-Switching VAR Analysis

Melisso Boschi, University of Essex

9:00 – 9:30 Shocking Markets: European Stock Markets and the ECB’s Monetary Policy Surprises

David Sondermann, Westfälische Wilhelms-University Münster

9:30 – 10:00 Evidence of Bubbles in the Singaporean Stock Market

Subramaniam S. Pillay, University of Nottingham, Malaysia Campus

10:00 – 10:30 The Other January Effect: Nothing More than a Statistical Artifact

Christian A. Salm, Westfälische Wilhelms-University Münster

10:30 – 11:00 Coffee Break

Session III More on Asset Price Bubbles

Chair: Pierre L. Siklos, Wilfrid Laurier University

11:00 – 11:45 Riding Bubbles

Nadja Günster, Erik Kole and Ben Jacobsen, Erasmus University Rotterdam, Massey University

Discussant: Martin T. Bohl, Westfälische Wilhelms-University Münster

11:45 – 12:30 Asset Price Bubbles and Monetary Policy: A Multivariate Extension

Andrew Filardo, Bank for International Settlements

Discussant: Øyvind Eitrheim, Norges Bank

12:30 – 13:30 Distinguished Speaker: Michael D. Bordo

13:30 – 14:30 Lunch

Published 3 January 2008 10:00