A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles

Posted: 5 Dec 2004

See all articles by Zacharias Psaradakis

Zacharias Psaradakis

University of London - Economics, Mathematics and Statistics

Martín Sola

Universidad Torcuato Di Tella; University of London - Economics, Mathematics and Statistics

Fabio Spagnolo

Brunel University London - Economics and Finance

Abstract

This paper proposes a new procedure for detecting the presence of periodically collapsing rational bubbles via an analysis of the properties of the relevant observable time series. The procedure is based on random coefficient autoregressive models. An empirical application of the procedure to German hyperinflation data is examined and discussed.

Keywords: Rational bubbles, stochastic unit root, time-varying coefficients

JEL Classification: C22, E31, G12

Suggested Citation

Psaradakis, Zacharias and Sola, Martín and Spagnolo, Fabio, A Simple Procedure for Detecting Periodically Collapsing Rational Bubbles. Economics Letters, Vol. 72, pp. 317-323, 2001. Available at SSRN: https://ssrn.com/abstract=626853

Zacharias Psaradakis (Contact Author)

University of London - Economics, Mathematics and Statistics ( email )

7-15 Gresse Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6415 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/psaradakis/

Martín Sola

Universidad Torcuato Di Tella ( email )

Minones 2159
1428 Buenos Aires, 1428
Argentina
5411 4784 0080 (Phone)
5411 4784 9807 (Fax)

University of London - Economics, Mathematics and Statistics ( email )

Malet Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6411 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/sola/

Fabio Spagnolo

Brunel University London - Economics and Finance ( email )

Uxbridge UB8 3PH
United Kingdom
+44 1895 816383 (Phone)
+44 1895 203303 (Fax)

HOME PAGE: http://www.brunel.ac.uk/depts/ecf/Staff/SpagnoloF/Main.htm

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