Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests

被引：39

作者：

Bettendorf, Timo ^{[1
]}

Chen, Wenjuan ^{[2
]}

机构：

[1] Univ Kent, Sch Econ, Keynes Coll, Canterbury CT2 7NP, Kent, England

[2] Free Univ Berlin, Inst Stat & Okonometrie, D-14195 Berlin, Germany

来源：

ECONOMICS LETTERS | 2013年 / 120卷 / 02期

关键词：

Exchange rates; Rational bubbles; Sequential unit root test; SPECULATIVE BUBBLES; MARKETS;

D O I：

10.1016/j.econlet.2013.04.039

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：350 / 353

页数：4

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