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Misspecification versus bubbles in hyperinflation data: Monte Carlo and interwar European evidence

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  • Hooker, Mark A.
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    Article provided by Elsevier in its journal Journal of International Money and Finance.

    Volume (Year): 19 (2000)
    Issue (Month): 4 (August)
    Pages: 583-600

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    Handle: RePEc:eee:jimfin:v:19:y:2000:i:4:p:583-600

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    Web page: http://www.elsevier.com/locate/inca/30443

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    1. West, Kenneth D, 1987. "A Specification Test for Speculative Bubbles," The Quarterly Journal of Economics, MIT Press, MIT Press, vol. 102(3), pages 553-80, August.
    2. Engle, Robert F. & Yoo, Byung Sam, 1987. "Forecasting and testing in co-integrated systems," Journal of Econometrics, Elsevier, vol. 35(1), pages 143-159, May.
    3. Craig S. Hakkio & Mark Rush, 1990. "Cointegration: how short is the long run?," Research Working Paper, Federal Reserve Bank of Kansas City 90-08, Federal Reserve Bank of Kansas City.
    4. Flood, Robert P & Garber, Peter M, 1980. "Market Fundamentals versus Price-Level Bubbles: The First Tests," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 88(4), pages 745-70, August.
    5. Hamilton, James D. & Whiteman, Charles H., 1985. "The observable implications of self-fulfilling expectations," Journal of Monetary Economics, Elsevier, Elsevier, vol. 16(3), pages 353-373, November.
    6. Funke, Michael & Hall, Stephen & Sola, Martin, 1994. "Rational bubbles during Poland's hyperinflation: Implications and empirical evidence," European Economic Review, Elsevier, vol. 38(6), pages 1257-1276, June.
    7. LaHaye, Laura, 1985. "Inflation and Currency Reform," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 93(3), pages 537-60, June.
    8. Blackburn, Keith & Sola, Martin, 1996. "Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 1(4), pages 303-17, October.
    9. Robert P. Flood & Robert J. Hodrick, 1986. "Asset Price Volatility, Bubbles, and Process Switching," NBER Working Papers 1867, National Bureau of Economic Research, Inc.
    10. Shiller, Robert J & Siegel, Jeremy J, 1977. "The Gibson Paradox and Historical Movements in Real Interest Rates," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 85(5), pages 891-907, October.
    11. Taylor, Mark P, 1991. "The Hyperinflation Model of Money Demand Revisited," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 23(3), pages 327-51, August.
    12. Salemi, Michael K & Sargent, Thomas J, 1979. "The Demand for Money during Hyperinflation under Rational Expectations: II," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 20(3), pages 741-58, October.
    13. Hooker, Mark A., 1993. "Testing for cointegration : Power versus frequency of observation," Economics Letters, Elsevier, vol. 41(4), pages 359-362.
    14. Blangiewicz, Maria & Charemza, Wojciech W, 1990. "Cointegration in Small Samples: Empirical Percentiles, Drifting Moments and Customized Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 52(3), pages 303-15, August.
    15. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
    16. Campbell, John & Shiller, Robert, 1987. "Cointegration and Tests of Present Value Models," Scholarly Articles 3122490, Harvard University Department of Economics.
    17. Christiano, Lawrence J, 1987. "Cagan's Model of Hyperinflation under Rational Expectations," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 28(1), pages 33-49, February.
    18. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-30, June.
    19. Evans, Paul, 1978. "Time-Series Analysis of the German Hyperinflation," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 19(1), pages 195-209, February.
    20. Steven N. Durlauf & Robert E. Hall, 1989. "Bounds on the Variances of Specification Errors in Models with Expectations," NBER Working Papers 2936, National Bureau of Economic Research, Inc.
    21. Hansen, Lars Peter & Sargent, Thomas J., 1980. "Formulating and estimating dynamic linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 2(1), pages 7-46, May.
    22. Behzad T. Diba & Herschel I. Grossman, 1984. "Rational Bubbles in the Price of Gold," NBER Working Papers 1300, National Bureau of Economic Research, Inc.
    23. Phylaktis, Kate & Taylor, Mark P, 1993. "Money Demand, the Cagan Model and the Inflation Tax: Some Latin American Evidence," The Review of Economics and Statistics, MIT Press, vol. 75(1), pages 32-37, February.
    24. Casella, Alessandra, 1989. "Testing for rational bubbles with exogenous or endogenous fundamentals : The German hyperinflation once more," Journal of Monetary Economics, Elsevier, Elsevier, vol. 24(1), pages 109-122, July.
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    Cited by:
    1. Engsted, Tom, 2003. "Misspecification versus bubbles in hyperinflation data: comment," Journal of International Money and Finance, Elsevier, Elsevier, vol. 22(4), pages 441-451, August.
    2. Yoon, Gawon, 2012. "Some properties of periodically collapsing bubbles," Economic Modelling, Elsevier, vol. 29(2), pages 299-302.
    3. Charles Ka Yui Leung, 2004. "Macroeconomics and Housing: A Review of the Literature," Discussion Papers, Chinese University of Hong Kong, Department of Economics 00004, Chinese University of Hong Kong, Department of Economics.
    4. Chan, Hing Lin & Lee, Shu Kam & Woo, Kai-Yin, 2003. "An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations," International Review of Economics & Finance, Elsevier, vol. 12(3), pages 327-344.

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