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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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.
Metadata
| 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 |
| URI: | https://eprints.bbk.ac.uk/id/eprint/50702 |
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