Market Fundamentals versus Speculative Bubbles: A New Test Applied to the German Hyperinflation
We develop and apply a method of testing for speculative bubbles. The method is designed to overcome two well-known problems in the identification of bubble phenomena--the problem of distinguishing any type of bubble from an expected future change in market fundamentals and the problem of detecting a periodically-collapsing bubble when the residuals of the fundamentals regression are integrated. We propose the strategy of estimating a switching regime model of market prices, partialling out expected changes in fundamentals and carefully analysing the properties of the residuals. Extending our analysis, we also propose a more direct test for bubbles, based on the estimation of the general (fundamentals-plus-bubble) solution for market prices. We apply our methodology to the study of German hyperinflation in the 1920s. We find evidence consistent with the existence of a bubble during that hyperinflation. Copyright @ 1996 by John Wiley & Sons, Ltd. All rights reserved.
If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Volume (Year): 1 (1996)
Issue (Month): 4 (October)
|Contact details of provider:|| Web page: http://www.interscience.wiley.com/jpages/1076-9307/|
|Order Information:||Web: http://jws-edcv.wiley.com/jcatalog/JournalsCatalogOrder/JournalOrder?PRINT_ISSN=1076-9307|
When requesting a correction, please mention this item's handle: RePEc:ijf:ijfiec:v:1:y:1996:i:4:p:303-17. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wiley-Blackwell Digital Licensing)or (Christopher F. Baum)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.