TESTING FOR EXCHANGE-RATE BUBBLES USING VARIANCE INEQUALITIES

Authors
KALYVITIS S PITTIS N
Citation
S. Kalyvitis et N. Pittis, TESTING FOR EXCHANGE-RATE BUBBLES USING VARIANCE INEQUALITIES, Journal of macroeconomics, 16(2), 1994, pp. 359-367
Citations number
17
Categorie Soggetti
Economics
Journal title
Journal of macroeconomics → ACNP
ISSN journal
01640704
Volume
16
Issue
2
Year of publication
1994
Pages
359 - 367
Database
ISI
SICI code
0164-0704(1994)16:2<359:TFEBUV>2.0.ZU;2-Z
Abstract
This paper offers a methodology of testing for exchange rate bubbles u sing two sets of variance inequalities. In the first one, the null hyp othesis is that the model is correctly specified and the market is eff icient. In the second set, the null contains an additional third assum ption that no bubbles exist. Rejection of the null only for the second set can be thought of as evidence for stochastic bubbles.