Options
Markov-switching cointegration test for bubbles during the interwar european hyperinflations
Author(s)
Date Issued
2024
Publisher
B P International
ISBN
9788197319501
9788197319587
Citation
In Tang, C. H., Woo, K. Y., Hon, T. Y., Au, W. K., Wong, W. K., & Wu, H. F. (Eds.). (2024). Bubbles and behavioral finance (pp. 45-69). B P International.
Type
Book Chapter
Abstract
The purpose of this paper is to test for the presence of price and exchange rate bubbles in Cagan's model using data from the interwar European hyperinflations of Germany, Hungary, and Poland. Markov-switching cointegration test would be adopted for the empirical analysis. Then, the regime-shifting behaviour of time series variables isassumed to depend on unobservablestates generated by a first-order Markov chain. Theprobability law that governs the Markov-switching regimes is advantageous in that it ismore flexible andallowsthe data to determine the specific form of nonlinearities that are consistent with the sample information.Inferences about the probabilities of the unobservable states at each point in time can also be made.
Loading...
Availability at HKSYU Library
