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

被引：4

作者：

Esteve, Vicente ^{[1
,4
,5
]}

Prats, Maria A. ^{[2
,3
]}

机构：

[1] Univ Valencia, Valencia, Spain

[2] Univ Alcala, Alcala de Henares, Spain

[3] Univ Murcia, Murcia, Spain

[4] London Sch Econ & Polit Sci, European Inst, London, England

[5] Univ Valencia, Dept Econ Aplicada 2, Avda dels Tarongers, s n, Valencia 46022, Spain

来源：

FINANCE RESEARCH LETTERS | 2023年 / 51卷

关键词：

Public debt; Rational bubble; Explosive autoregression; Time-varying volatility; Right-tailed unit root testing; UNIT-ROOT TESTS; SERIES; EXUBERANCE; COLLAPSE; MODELS;

D O I：

10.1016/j.frl.2022.103330

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：7

共 23 条

[1]

Banco de Espana, 2021, CUENTAS FINANCIERAS

[2]

Banco de Espana, 2022, B EST 2 2022

[3] Public debt sustainability: An empirical study on OECD countries [J].