关于高膨胀过程中气泡的测试

IF 0.7 4区经济学 Q3 ECONOMICS

Studies in Nonlinear Dynamics and Econometrics Pub Date : 2023-03-13 DOI:10.1515/snde-2022-0014

R. Morita, Zacharias Psaradakis, M. Solá, Patricio Yunis

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引用次数: 0

摘要

摘要我们考虑通过分析相关可观测时间序列的非平稳性来测试高膨胀期间理性气泡的存在。测试过程基于马尔可夫状态切换模型，该模型的截距、误差方差和自回归系数具有独立的随机变化。这个模型公式使我们能够区分基本面驱动的漂移变化、泡沫驱动的爆发力以及可能是基本面驱动和/或泡沫驱动的波动性变化。通过将其应用于阿根廷、巴西、德国和波兰的高通货膨胀数据，说明了测试方法。

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On testing for bubbles during hyperinflations

Abstract We consider testing for the presence of rational bubbles during hyperinflations via an analysis of the non-stationarity properties of relevant observable time series. The test procedure is based on a Markov regime-switching model with independent stochastic changes in its intercept, error variance and autoregressive coefficients. This model formulation allow us to disentangle fundamentals-driven changes in the drift, bubble-driven explosiveness, and volatility changes that may be fundamentals-driven and/or bubble-driven. The testing methodology is illustrated by applying it to data from hyperinflations in Argentina, Brazil, Germany and Poland.

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来源期刊

Studies in Nonlinear Dynamics and Econometrics Multiple-

CiteScore

1.40

自引率

12.50%

发文量

期刊介绍： Studies in Nonlinear Dynamics & Econometrics (SNDE) recognizes that advances in statistics and dynamical systems theory may increase our understanding of economic and financial markets. The journal seeks both theoretical and applied papers that characterize and motivate nonlinear phenomena. Researchers are required to assist replication of empirical results by providing copies of data and programs online. Algorithms and rapid communications are also published.