FUNDAMENTALS UNCERTAINTY, BUBBLES, AND EXCHANGE-RATE DYNAMICS

• 成果类型: Article
• 署名作者: IKEDA, S; SHIBATA, A
• 署名单位: University of Osaka
• 刊物名称: JOURNAL OF INTERNATIONAL ECONOMICS
• ISSN/ISSBN: 0022-1996
• DOI: 10.1016/0022-1996(94)01352-S
• 发表日期: 1995
• 页码: 199-222
• 关键词: Exchange rates; FUNDAMENTALS UNCERTAINTY; bubbles; cycles; STABILITY; STOCHASTIC PROCESS SWITCHING; volatility; cointegration

摘要

Using a monetary model of exchange rate determination, we study exchange rate dynamics with bubbles which depend on stochastic market fundamentals. These dynamics can be either stochastically stable or unstable; and either monotonic or non-monotonic (including cyclic). In an extreme case, they converge with probability one and exhibit cyclic movements. Implications for the analysis of time-dependent regime shifts are also explored. Exchange rates with bubbles are likely to appear less volatile than the fundamentals in finite samples. Both the variance bounds and cointegration tests might thus be ineffective in testing the absence of bubbles under fundamentals uncertainty.