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On the Exchange Rate of the Dollar: Market Fundamentals AU versus Speculative Bubbles

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  • Pittis, Nikitas

Abstract

This paper carries out indirect tests for stochastic exchange rate bubbles in the context of a Dornbusch-type monetary model by comparing the order of integrability and examining the conintegrability between exchange rates and variables in the fundamentals. Special emphasis is given to the period of sharp appreciation of the dollar, January 1981 to February 1985. In two out of the three rates examined in this paper, the null no-bubbles hypothesis cannot be rejected by any of the tests when some possible sources of model misspecification are taken into account. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester

Suggested Citation

  • Pittis, Nikitas, 1993. "On the Exchange Rate of the Dollar: Market Fundamentals AU versus Speculative Bubbles," The Manchester School of Economic & Social Studies, University of Manchester, vol. 61(2), pages 167-184, June.
    • Handle: RePEc:bla:manch2:v:61:y:1993:i:2:p:167-84
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    Cited by:

    1. Charemza, Wojciech W. & Deadman, Derek F., 1995. "Speculative bubbles with stochastic explosive roots: The failure of unit root testing," Journal of Empirical Finance, Elsevier, vol. 2(2), pages 153-163, June.
    2. Charemza, Wojciech W., 1996. "Detecting stochastic bubbles on an East European foreign exchange market: An estimation/simulation approach," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 35-53, March.
    3. Wu, Yih-Jiuan, 1998. "Exchange rate forecasting: an application of radial basis function neural networks," ISU General Staff Papers 1998010108000013540, Iowa State University, Department of Economics.

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