Testing explosive bubbles with time-varying volatility: The case of Spanish public debt

Vicente Esteve and Maria Prats

Finance Research Letters, 2023, vol. 51, issue C

Abstract: In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850–2021. We use recent procedures to test for explosive bubbles in the presence under time-varying volatility (Harvey et al., 2016; Harvey et al., 2019, 2020; Kurozumi et al., 2022) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process.

Keywords: Public debt; Rational bubble; Explosive autoregression; Time-varying volatility; Right-tailed unit root testing (search for similar items in EconPapers)
JEL-codes: C12 C22 E62 H62 H63 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Working Paper: Testing explosive bubbles with time-varying volatility: the case of Spanish public debt (2023)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005098

DOI: 10.1016/j.frl.2022.103330

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