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

Vicente Esteve and Maria Prats

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

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: explosive autoregression; public debt; rational bubble; right-tailed unit root testing; time-varying volatility (search for similar items in EconPapers)
JEL-codes: E6 F3 G3 (search for similar items in EconPapers)
Pages: 7 pages
Date: 2023-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Published in Finance Research Letters, 1, January, 2023, 51. ISSN: 1544-6123

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http://eprints.lse.ac.uk/116980/ Open access version. (application/pdf)

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Journal Article: Testing explosive bubbles with time-varying volatility: The case of Spanish public debt (2023)
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