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Empirical studies of price bubbles during the Chinese hyperinflation of years 1946-49
Author(s)
Date Issued
2000
Series/Report no.
Working Paper Series, 2000;
ISBN
9628719084
Description
17 pages
Type
Working Paper
Abstract
The purpose of this paper is to examine the existence of price bubbles during the Chinese hyperinflation. To do that, we propose to use the Durlauf and Hall's signal extraction approach for carrying out the analysis. However, we find two areas in which improvements can be made. First, fully-modified econometric methods are adopted to handle the "spurious results" problem. Second, we decompose the price level in a different way with an aim to avoid making arbitrary assumptions on the structure of model disturbance in the fundamental price. From the analysis, we conclude that the model disturbance is a white noise and the price bubble is likely to exist.
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