On testing for bubbles during hyperinflations

Rubens Morita, Zacharias Psaradakis, Martin Sola and Yunis Patricio ()
Additional contact information
Yunis Patricio: Department of Economics, Universidad Torcuato di Tella, Buenos Aires, Argentina

Studies in Nonlinear Dynamics & Econometrics, 2024, vol. 28, issue 1, 25-37

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.

Keywords: bootstrap; bubbles; explosiveness; Markov-switching autoregressive model; unit-root test (search for similar items in EconPapers)
Date: 2024
References: Add references at CitEc
Citations:

Downloads: (external link)
https://doi.org/10.1515/snde-2022-0014 (text/html)
For access to full text, subscription to the journal or payment for the individual article is required.

Related works:
Working Paper: On Testing for Bubbles During Hyperinflations (2022)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bpj:sndecm:v:28:y:2024:i:1:p:25-37:n:3

Ordering information: This journal article can be ordered from
https://www.degruyter.com/journal/key/snde/html

DOI: 10.1515/snde-2022-0014

Access Statistics for this article

Studies in Nonlinear Dynamics & Econometrics is currently edited by Bruce Mizrach

More articles in Studies in Nonlinear Dynamics & Econometrics from De Gruyter
Bibliographic data for series maintained by Peter Golla ().