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Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels

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  • Cerqueti, Roy
  • Costantini, Mauro

Abstract

This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries using the model developed by Campbell (2000). We provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the financial crashes that are related to rational bubbles. We find strong evidence in favor of bubbles phenomena.

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Bibliographic Info

Article provided by Elsevier in its journal Journal of Banking & Finance.

Volume (Year): 35 (2011)
Issue (Month): 10 (October)
Pages: 2598-2605

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Handle: RePEc:eee:jbfina:v:35:y:2011:i:10:p:2598-2605

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Web page: http://www.elsevier.com/locate/jbf

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Keywords: Rational bubbles International financial markets Panel data Unit root Cointegration;

References

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Cited by:
  1. Asako, Kazumi & Liu, Zhentao, 2013. "A statistical model of speculative bubbles, with applications to the stock markets of the United States, Japan, and China," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(7), pages 2639-2651.

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