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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, Publishing House "SINERGIA PRESS", 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
    1. David I. Harvey & Stephen J. Leybourne & Robert Sollis, 2015. "Recursive Right-Tailed Unit Root Tests for an Explosive Asset Price Bubble," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 13(1), pages 166-187.
    2. Peter C. B. Phillips & Jun Yu, 2011. "Dating the timeline of financial bubbles during the subprime crisis," Quantitative Economics, Econometric Society, vol. 2(3), pages 455-491, November.
    3. Peter C. B. Phillips & Yangru Wu & Jun Yu, 2011. "EXPLOSIVE BEHAVIOR IN THE 1990s NASDAQ: WHEN DID EXUBERANCE ESCALATE ASSET VALUES?," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 52(1), pages 201-226, February.
    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. Bettendorf, Timo & Chen, Wenjuan, 2013. "Are there bubbles in the Sterling-dollar exchange rate? New evidence from sequential ADF tests," Economics Letters, Elsevier, vol. 120(2), pages 350-353.
    6. Phillips, Peter C.B. & Magdalinos, Tassos, 2007. "Limit theory for moderate deviations from a unit root," Journal of Econometrics, Elsevier, vol. 136(1), pages 115-130, January.
    7. Peter C. B. Phillips & Shuping Shi & Jun Yu, 2015. "Testing For Multiple Bubbles: Limit Theory Of Real‐Time Detectors," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56, pages 1079-1134, November.
    8. 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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    10. Harvey, David I. & Leybourne, Stephen J. & Sollis, Robert, 2017. "Improving the accuracy of asset price bubble start and end date estimators," Journal of Empirical Finance, Elsevier, vol. 40(C), pages 121-138.
    11. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-930, September.
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    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    unit roots; explosive process; bubble; exchange rate;

    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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