Testing time series for the bubbles (with application to Russian data)

Elena Sinelnikova-Muryleva and Anton Skrobotov ()

Applied Econometrics, 2017, vol. 46, 90-103

Abstract: This study is devoted to analysis of the problem of bubbles in financial markets. Various approaches and methods of testing for the presence of bubbles, as well as determining the origin and the time of the bubble contraction are discussed. The considered approaches are applied to Russian data of exchange rate for the period from 1 January 2014 to 30 June 2015. The results indicate the existence of a bubble in the Russian foreign exchange market in the period from October to December 2014. The bubble collapse is associated with the increase of the key rate by the Bank of Russia up to 17% on the 16th of December, 2014.

Keywords: unit roots; explosive process; bubble; exchange rate (search for similar items in EconPapers)
JEL-codes: C12 C18 C22 F31 G14 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:ris:apltrx:0319

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