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Erscheinungsjahr: 
2006
Schriftenreihe/Nr.: 
Department of Economics Discussion Paper No. 06,04
Verlag: 
University of Kent, Department of Economics, Canterbury
Zusammenfassung: 
This paper investigates the presence of periodically collapsing rational bubbles in exchange rates for a sample of industrialised countries. A periodically collapsing rational bubble is defined as an explosive deviation from economic fundamentals with distinct expansion and contraction phases in finite time. By using Markov-switching regime models we were not able to find robust evidence of a bubble driving the exchange rate away from fundamentals. Moreover, the results also revealed significant non-linearities and different regimes. The importance of these findings suggests that linear monetary models may not be appropriate to examine exchange rate movements.
Schlagwörter: 
Foreign Exchange
Bubbles
Fundamentals
Markov-Switching
Assets
JEL: 
F31
F37
F41
Dokumentart: 
Working Paper

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