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Testing time series for the bubbles (with application to Russian data)

Author

Listed:
  • Sinelnikova-Muryleva, Elena

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation)

  • Skrobotov, Anton

    (Russian Presidential Academy of National Economy and Public Administration (RANEPA), Moscow, Russian Federation)

Abstract

This study is devoted to analysis of the problem of bubbles in financial markets. Various approaches and methods of testing for the presence of bubbles, as well as determining the origin and the time of the bubble contraction are discussed. The considered approaches are applied to Russian data of exchange rate for the period from 1 January 2014 to 30 June 2015. The results indicate the existence of a bubble in the Russian foreign exchange market in the period from October to December 2014. The bubble collapse is associated with the increase of the key rate by the Bank of Russia up to 17% on the 16th of December, 2014.

Suggested Citation

  • Sinelnikova-Muryleva, Elena & Skrobotov, Anton, 2017. "Testing time series for the bubbles (with application to Russian data)," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 46, pages 90-103.
    • Handle: RePEc:ris:apltrx:0319
    as

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    File URL: http://pe.cemi.rssi.ru/pe_2017_46_090-103.pdf
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    References listed on IDEAS

    as
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    4. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert & Taylor, A.M. Robert, 2016. "Tests for explosive financial bubbles in the presence of non-stationary volatility," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 548-574.
    5. Diba, Behzad T & Grossman, Herschel I, 1988. "Explosive Rational Bubbles in Stock Prices?," American Economic Review, American Economic Association, vol. 78(3), pages 520-530, June.
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    More about this item

    Keywords

    unit roots; explosive process; bubble; exchange rate;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C18 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Methodolical Issues: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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