TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES

• 成果类型: Article
• 署名作者: Pavlidis, Efthymios G.; Paya, Ivan; Peel, David A.
• 署名单位: Lancaster University
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12249
• 发表日期: 2017
• 页码: 1191-1226
• 关键词: unobserved rational-expectations; exchange-rate; cagan model; german hyperinflation; poland hyperinflation; confidence-intervals; foreign-exchange; stock-prices; money; inference

摘要

The probabilistic structure of periodically collapsing bubbles creates a gap between future spot and forward (futures) asset prices in small samples. By exploiting this fact, we use a recently developed recursive unit root test and rolling Fama regressions for detecting bubbles. Both methods do not rely on a particular model of asset price determination, are robust to explosive fundamentals, and allow date stamping. An application to U.S. dollar exchange rates provides evidence of bubbles during the interwar German hyperinflation, but not during the recent floating-rate period. A further application to S&P500 supports the existence of bubbles in the U.S. equity market.