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Are There Bubbles in the Sterling-dollar Exchange Rate?
Bettendorf, Timo ;  Chen, Wenjuan ;  Universität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft

Main titleAre There Bubbles in the Sterling-dollar Exchange Rate?
SubtitleNew Evidence from Sequential ADF Tests
AuthorBettendorf, Timo
AuthorChen, Wenjuan
InstitutionUniversität <Berlin, Freie Universität> / Fachbereich Wirtschaftswissenschaft
No. of Pages10 S.
Series Discussion paper / School of Business & Economics ; 2012/21 : Economics
Keywordsexchange rates, rational bubbles, sequential unit root test
Classification (DDC)337 International economics
AbstractThere has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. Standard unit root and cointegration tests are criticized for their low power to detect rational bubbles that periodically collapse. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. Our results show that explosiveness in the nominal Sterling-dollar exchange rates is fully explained by the relative prices of traded goods.
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FU DepartmentDepartment Business and Economics
Other affiliation(s)Institut für Statistik und Ökonometrie
Year of publication2012
Type of documentBook
LanguageEnglish
Terms of use/Rights Nutzungsbedingungen
Created at2012-11-28 : 09:14:33
Last changed2014-01-23 : 04:20:22
 
Static URLhttp://edocs.fu-berlin.de/docs/receive/FUDOCS_document_000000015373
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