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 language | English |
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Journal | Studies in Nonlinear Dynamics and Econometrics |
Early online date | 13 Mar 2023 |
DOIs | |
Publication status | E-pub ahead of print - 13 Mar 2023 |
Bibliographical note
Publisher Copyright:© 2023 Walter de Gruyter GmbH, Berlin/Boston 2023.