Bubble Spillover of Assets: Evidence from the Exchange Rates of Some Newly Industrialized Countries

Savaş Tarkun () and Mehmet Çınar ()
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Savaş Tarkun: Non-affiliated, Ankara, Türkiye
Mehmet Çınar: Bursa Uludağ University, Depertment of Econometrics, Bursa, Türkiye

EKOIST Journal of Econometrics and Statistics, 2024, vol. 0, issue 41, 22-33

Abstract: This study investigates the bubble assets of exchange rates in some newly industrialized countries, including Brazil, Indonesia, Mexico, South Africa, and Thailand. This study aims to determine the bubble assets in the exchange rates of the relevant countries according to the critical values obtained from the GSADF unit root test and Monte Carlo simulation, using weekly data for 01/06/2019–04/03/2023. Then, the presence of some of the information in the GSADF variable of the other country in the current values of the GSADF variable obtained for each country’s exchange rate is examined. The study’s findings show that there is bidirectional causality between the Mexican Peso and the currencies of other countries in the bubble series for each of the five countries. Similar results were found for bidirectional causality between all countries except the South African Rand and the Thai Baht. These findings show that the Mexican Peso and the South African Rand are the currency parity of the countries that both emit and receive the bubbles that occur in the countries in the study.

Keywords: NIC Countries; Exchange Rate; Bubble Presence; Bubble Spillover (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:ist:ekoist:v:0:y:2024:i:41:p:22-33

DOI: 10.26650/ekoist.2024.41.1418412

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