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Bank Credit Extension and Real Economic Activity in South Africa pp 149–179Cite as

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Stock Price Returns, Volatility and Costly Asset Price Boom–Bust Episodes

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Notes

  1. 1.

    See IMF (2003), Cecchetti (2012, 2006), Yavas (2013), Xiong (2013), amongst others

  2. 2.

    See Kim and Yang (2009) for further details on dealing with the issue of simultaneity between capital inflows and asset prices.

  3. 3.

    See Fatas et al. (Fatas et al. 2009) for further details.

  4. 4.

    International evidence shows that the average house price bust lasts for two and a half years, whereas stock price busts last for about one and a half years. The cumulative decline in output below trend is roughly 4.25 percent for the first year after the onset of a house price bust, compared with a 1.25 percent decline after stock price busts. See IMF (2003, 2008), Claessens et al. (2008), Dekten and Smets (2004), Mishkin (2008), Borgy et al. (2009).

  5. 5.

    See Kaminsky et al. (1998) and Kaminsky and Reinhart (1999), Borgy et al. (2009), Kannan et al. (2009).

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  1. Economist, South African Reserve Bank, Johannesburg, South Africa

    Nombulelo Gumata & Eliphas Ndou

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  1. Nombulelo Gumata
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  2. Eliphas Ndou
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Gumata, N., Ndou, E. (2017). Stock Price Returns, Volatility and Costly Asset Price Boom–Bust Episodes. In: Bank Credit Extension and Real Economic Activity in South Africa. Palgrave Macmillan, Cham. https://doi.org/10.1007/978-3-319-43551-0_7

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  • DOI: https://doi.org/10.1007/978-3-319-43551-0_7

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