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    On testing for bubbles during hyperinflations

    Morita, Rubens and Psaradakis, Zacharias and Sola, M. and Yunis, P. (2023) On testing for bubbles during hyperinflations. Studies in Nonlinear Dynamics & Econometrics , ISSN 1081-1826.

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    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.


    Item Type: Article
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Zacharias Psaradakis
    Date Deposited: 06 Mar 2023 13:36
    Last Modified: 13 Mar 2024 01:10


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