Testing Explosive Bubbles with Time-Varying Volatility: The Case of Spanish Public Debt

14 Pages Posted: 22 Jul 2022

See all articles by Vicente Esteve García

Vicente Esteve García

affiliation not provided to SSRN

Maria A. Prats

Universidad de Murcia - Dpto. Economia Aplicada

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, Leybourne, Sollis and Taylor (2016), Harvey, Leybourne and Zu (2019, 2020), Kurozumi, Skorobotov and Tsarev (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

Suggested Citation

Esteve García, Vicente and Prats, Maria A., Testing Explosive Bubbles with Time-Varying Volatility: The Case of Spanish Public Debt. Available at SSRN: https://ssrn.com/abstract=4169877

Vicente Esteve García (Contact Author)

affiliation not provided to SSRN ( email )

No Address Available

Maria A. Prats

Universidad de Murcia - Dpto. Economia Aplicada ( email )

30100 Murcia
Spain

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