BIROn - Birkbeck Institutional Research Online

    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.

    [img] Text
    SWADF_2023_SNDE.pdf - Author's Accepted Manuscript
    Restricted to Repository staff only until 13 March 2024.

    Download (382kB) | Request a copy

    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: 02 Aug 2023 18:20
    URI: https://eprints.bbk.ac.uk/id/eprint/50702

    Statistics

    Activity Overview
    6 month trend
    2Downloads
    6 month trend
    93Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item