Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests
Timo Bettendorf and
Wenjuan Chen
Economics Letters, 2013, vol. 120, issue 2, 350-353
Abstract:
There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. We find strong evidence of explosive behavior in the nominal Sterling-dollar exchange rate. However, this explosive behavior should not be simply interpreted as evidence of rational bubbles, as we show that it might be driven by the relative prices of traded goods.
Keywords: Exchange rates; Rational bubbles; Sequential unit root test (search for similar items in EconPapers)
JEL-codes: C1 F3 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (50)
Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176513002176
Full text for ScienceDirect subscribers only
Related works:
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:eee:ecolet:v:120:y:2013:i:2:p:350-353
DOI: 10.1016/j.econlet.2013.04.039
Access Statistics for this article
Economics Letters is currently edited by Economics Letters Editorial Office
More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().