Testing for bubbles in exchange markets: a case of sparkling rates?
This paper investigates the possibility that the observed deviations of major bilateral exchange rates from values implied by market fundamentals are a consequence of rational asset market bubbles. When a new econometric methodology for detecting asset market bubbles is used, the joint hypothesis of...
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| Veröffentlicht in: | The Journal of political economy 1986-04, Vol.94 (2), p.345-373 |
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| container_title | The Journal of political economy |
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| creator | Meese, R.A |
| description | This paper investigates the possibility that the observed deviations of major bilateral exchange rates from values implied by market fundamentals are a consequence of rational asset market bubbles. When a new econometric methodology for detecting asset market bubbles is used, the joint hypothesis of no bubbles and stable autoregressive processes for relative money supplies and real incomes is rejected for the dollar/deutsche mark and dollar/pound ratesusing monthly data over the period 1973-82. Additional tests for coefficient stability and for lack of cointegration between exchange rates and market fundamentals suggest that the bubble findings must be interpreted with care. |
| doi_str_mv | 10.1086/261377 |
| format | Article |
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| identifier | ISSN: 0022-3808 |
| ispartof | The Journal of political economy, 1986-04, Vol.94 (2), p.345-373 |
| issn | 0022-3808 1537-534X |
| language | eng |
| recordid | cdi_proquest_miscellaneous_61127581 |
| source | Worldwide Political Science Abstracts; Business Source Complete; Periodicals Index Online; JSTOR Archive Collection A-Z Listing |
| subjects | Dollar Economic bubbles Economic expectations Economic models Economic theory Empirical evidence Exchange rate Exchange rates Floating exchange rates Foreign exchange Foreign exchange rates Hypotheses Market markets monetary situation Money demand Political economy prices random walks speculation Statistical data Statistical variance |
| title | Testing for bubbles in exchange markets: a case of sparkling rates? |
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