tag:blogger.com,1999:blog-4900303239154048192.post6451421326797645710..comments2024-03-06T06:34:42.881-05:00Comments on EconoSpeak: Is Bitcoin A Speculative Bubble?Unknownnoreply@blogger.comBlogger10125tag:blogger.com,1999:blog-4900303239154048192.post-63998823784762162922017-12-06T23:26:04.385-05:002017-12-06T23:26:04.385-05:00Robert,
Transversality is only relevant for an in...Robert,<br /><br />Transversality is only relevant for an infinitely lived agent. Not relevant in either an OLG model or the real world.<br /><br />Hyperinflations are not bubbles, they are collapses of value, not escalations based on greater fools or self-fulfilling sunspots or whatever.rosserjb@jmu.eduhttps://www.blogger.com/profile/09300046915843554101noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-54573631340836038372017-12-06T09:50:17.425-05:002017-12-06T09:50:17.425-05:00Pyramid schemes, Ponzi schemes ect are what econom...Pyramid schemes, Ponzi schemes ect are what economists call "greater fool" schemes/bubbles. The thing they have in common is no final condition or price. Technically this whole thing came out of the "necessity of transversality" discussion, which is technical talk for "yea but if there is a bubbles people can't be maximizing - so if people are really maximizing there can't be bubbles." BTW, that is why Garber and I looked at the German hyperinflation since price level is the only case where the econ maximizing assumption does not imply no bubbles.<br />Bob Floodhttps://www.blogger.com/profile/10755214976203287542noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-44619400145897908962017-12-06T02:50:36.492-05:002017-12-06T02:50:36.492-05:00That is not obvious, Anonymous. A blockchain is n...That is not obvious, Anonymous. A blockchain is not a pyramid scheme, per se. Transactions do not depend on each other in the way those in a pyramid do.rosserjb@jmu.eduhttps://www.blogger.com/profile/09300046915843554101noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-79887027971805106552017-12-05T21:28:41.633-05:002017-12-05T21:28:41.633-05:00better described as a pyramid scheme than a bubble...better described as a pyramid scheme than a bubbleAnonymousnoreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-31120322130469126052017-12-05T15:29:25.709-05:002017-12-05T15:29:25.709-05:00Fair enough, Robert, although you have written on ...Fair enough, Robert, although you have written on the misspecified fundamental problem with him, I believe, JPE 1980 if I am not mistaken, and I have always taken the critique seriously, hence the interest in such cases as closed-end funds where it looks like one might actually be able to get pretty close to pinning down an actual fundamental. While I poked at him for not showing up at that conference, Garber's "Tulipmania," both the article and book versions, are interesting and informative.<br /><br />If I have misrepresented your position at all (aside from appearing to include you as a coauthor on Tulipmania), I apologize.Barkley Rosserhttps://www.blogger.com/profile/17456034324768715935noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-87597227568300673242017-12-05T11:51:08.365-05:002017-12-05T11:51:08.365-05:00BTW, I have never written anything about Tulipmani...BTW, I have never written anything about Tulipmania. That's Peter's thing. I gave some lectures on bubbles at ND - before retiring - and read Peter's work. Peter's puzzling about the common tulip varieties in the final month or 6 weeks always seemed odd to me. As you know, the tulip contracts were voided by the king - or someone - so actual settlement was just "cents on the dollar." My point is that people might well have anticipated the probabilistic voiding of the contracts. So when one sold the bulb future there were two possible payments - so expected price was: (prob no king intervention)* nominal price agreed + (prob of king intervention)* some unknown low price. So if I were a drunk dutchman in a bar, I'd put the nominal agreed price up pretty high to compensate (in expectation) to the chance that the king would void. The king did void, of course, and I can see the prob of voiding rising as the voiding approached, which would account for the so-called bubble in common bulb prices.Bob Floodhttps://www.blogger.com/profile/10755214976203287542noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-56018647434919084592017-12-04T20:21:31.375-05:002017-12-04T20:21:31.375-05:00Robert,
Well, my (non) interaction with PG happen...Robert,<br /><br />Well, my (non) interaction with PG happened in the 90s, the paper being discussed having been based on the closed-end country funds bubble that blew in 1990. <br /><br />I have not looked at your Tulipmania recently, but my memory is that in the end the bottom line was that the most likely actual bubble was only in the final month for oridnary tulip futures, not the high priced ones that got all the publicity in MacKay and other such sources. There were special enough details and circumstances regarding them that your misspecified fundamentals problem. <br /><br />My reading of Kindleberger in his various editions involves more cases that are not new commodities or markets, although many of them were.rosserjb@jmu.eduhttps://www.blogger.com/profile/09300046915843554101noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-43953131748480113852017-12-04T18:20:34.726-05:002017-12-04T18:20:34.726-05:00The thing that puzzled me about your interaction w...The thing that puzzled me about your interaction with PG involves my recollection of Garber's and my discussions about identification. As I remember this (from 1980, which is 37 years btw) is our saying we could not tell the difference between a greater fool bubble that burst (which we got from Brock/Blanchard)) and a payoff expectation that did not materialize. Have a look at the chart in the back of Kindleberger - his bubbles (suspiciously) occur around new markets and new inventions - some of which pay off and some don't. Also Tulip mania was NOT a greater fool type bubble since the price that 'bubbled' was not a spot price but a futures price so time does not move in the pricing equation. The deal was for delivery of tulip bulbs at a fixed future date. Oh and the point of the UK think was to tout the very cool data the authors used - spot prices for freehold and for leasehold of very similar properties - and they had lots and lots of data.<br />Bob Floodhttps://www.blogger.com/profile/10755214976203287542noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-44456899921175402172017-12-04T16:48:19.978-05:002017-12-04T16:48:19.978-05:00That may be. I have said nothing about UK housing...That may be. I have said nothing about UK housing prices, although I fully agree with Shiller that US ones were a speculative bubble, if subject to some question marks about misspecified fundamentals. Anyway, in the US, the price to rent and price to income ratios after 2000 rose to levels never seen before in US history, pretty suggestive of a bubble, and, of course, they fell long and hard later.<br /><br />I apologize through you to Peter Garber for snarking too much at his failure to show up to discuss a paper he said he would discuss without ever giving any excuse. My remarks overdid it, although the facts are as I stated them.<br /><br />That paper, eventually published in JEBO prior to when I edited it (with Ahmed, Koppl, and White) was about closed-end country funds, especially the price movements that occurred in late 1989 and early 1990. Without getting into too many gory details, a lot of them, including ones where people could freely buy the underlying assets (not always the case for some countries, such as South Korea at the time), with Spain and Germany prime examples, had their closed-end fund prices soar to about twice the level of their net asset values, before crashing pretty hard in February, 1990. A lot of the action at the time seems to have been driven by Nomura, with much of the money in this particular market fleeing the about to crash and then crashing Japanese stock market.<br /><br />We did not come up with the idea that closed-end funds are a case where, assuming ability to buy the underlying assets, one can pretty reasonably accept that the fundamental is probably slightly below the net asset value due to tax and fees issues, as I noted in my post. Others have noted this, including Thaler as well as Brad DeLong, who in one paper noted that due to the misspecified fundamental problem we cannot say for sure that the US 1929 stock market was a speculative bubble, but that we can be pretty sure that the closed-end fund market was, where at that time it behaved like closed-end country fund market in 1898-90, with fund prices roughly doubling the underlying net asset values before finally crashing hard.Barkley Rosserhttps://www.blogger.com/profile/17456034324768715935noreply@blogger.comtag:blogger.com,1999:blog-4900303239154048192.post-61228005892406006762017-12-04T15:11:32.311-05:002017-12-04T15:11:32.311-05:00Actually I gave comments on a paper published rece...Actually I gave comments on a paper published recently in Econometrica in which the authors had data on very very long lived lease holds that I thought identified that no bubble was present in british housing prices. Bob Floodhttps://www.blogger.com/profile/10755214976203287542noreply@blogger.com