On testing for bubbles during hyperinflations-Reference-Cited by-同舟云学术

On testing for bubbles during hyperinflations

Published:2023-03-13 Issue:0 Volume:0 Page:
ISSN:1081-1826
Container-title:Studies in Nonlinear Dynamics & Econometrics
language:en
Short-container-title:

Author:

Morita Rubens¹²,Psaradakis Zacharias²,Sola Martin³,Yunis Patricio³

Affiliation:

1. School of Economics , University of Bristol , Bristol , UK

2. Department of Economics, Mathematics and Statistics , Birkbeck, University of London , London , UK

3. Department of Economics , Universidad Torcuato di Tella , Buenos Aires , Argentina

Abstract

Abstract We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The test procedure is based on a Markov regime-switching model with independent stochastic changes in its intercept, error variance and autoregressive coefficients. This model formulation allow us to disentangle fundamentals-driven changes in the drift, bubble-driven explosiveness, and volatility changes that may be fundamentals-driven and/or bubble-driven. The testing methodology is illustrated by applying it to data from hyperinflations in Argentina, Brazil, Germany and Poland.

Publisher

Walter de Gruyter GmbH

Subject

Economics and Econometrics,Social Sciences (miscellaneous),Analysis,Economics and Econometrics,Social Sciences (miscellaneous),Analysis

Link

https://www.degruyter.com/document/doi/10.1515/snde-2022-0014/pdf

Reference20 articles.

1. Blackburn, K., and M. Sola. 1996. “Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation.” International Journal of Finance & Economics 1: 303–17. https://doi.org/10.1002/(sici)1099-1158(199610)1:4<303::aid-ijfe27>3.0.co;2-b.

2. Davison, A. C., and D. V. Hinkley. 1997. Bootstrap Methods and Their Application. Cambridge: Cambridge University Press.

3. de Holanda Barbosa, F. H., and T. N. T. da Silva Filho. 2015. “Bubble, Weak and Strong Hyperinflation: Theory and Empirical Evidence.” Economia 16: 145–56. https://doi.org/10.1016/j.econ.2015.05.001.

4. Driffill, J., and M. Sola 1998. “Intrinsic Bubbles and Regime-Switching.” Journal of Monetary Economics 42: 357–73. https://doi.org/10.1016/s0304-3932(98)00021-x.

5. Evans, G. W. 1991. “Pitfalls in Testing for Explosive Bubbles in Asset Prices.” The American Economic Review 81: 922–30.