Back to Search
Start Over
BUBBLES DETECTION FOR INTER-WAR EUROPEAN HYPERINFLATION: A THRESHOLD COINTEGRATION APPROACH.
- Source :
- Journal of Economics & Finance; Summer2006, Vol. 30 Issue 2, p169-185, 17p
- Publication Year :
- 2006
-
Abstract
- This paper undertakes an empirical investigation into the existence of inflationary bubbles during the inter-war European hyperinflation for Germany, Hungary, Poland and Russia. Our Monte Carlo simulations show that the residual-based threshold cointegration methodology of Caner and Hansen (2001) is better able to detect periodically collapsing bubbles. Moreover, this methodology possesses greater power against nonlinear stationary alternatives in a finite sample than several commonly used cointegration tests that do not allow for multiple regime shifts. The empirical results of the threshold cointegration tests provide evidence of stationary, regime-switching processes in money demand dynamics, but suggest that there are no inflationary bubbles in any of the countries. [ABSTRACT FROM AUTHOR]
- Subjects :
- PRICE inflation
MONTE Carlo method
COINTEGRATION
ECONOMIC policy
Subjects
Details
- Language :
- English
- ISSN :
- 10550925
- Volume :
- 30
- Issue :
- 2
- Database :
- Complementary Index
- Journal :
- Journal of Economics & Finance
- Publication Type :
- Academic Journal
- Accession number :
- 22356471
- Full Text :
- https://doi.org/10.1007/BF02761483