On Testing for Bubbles During Hyperinflations

Rubens Morita, Zacharias Psaradakis *, Martin Sola, Patricio Yunis

*Corresponding author for this work

Research output: Contribution to journalArticle (Academic Journal)peer-review

1 Citation (Scopus)

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.
Original languageEnglish
JournalStudies in Nonlinear Dynamics and Econometrics
Early online date13 Mar 2023
DOIs
Publication statusE-pub ahead of print - 13 Mar 2023

Bibliographical note

Publisher Copyright:
© 2023 Walter de Gruyter GmbH, Berlin/Boston 2023.

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