Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/79622
Authors: 
Bettendorf, Timo
Chen, Wenjuan
Year of Publication: 
2013
Series/Report no.: 
SFB 649 Discussion Paper 2013-012
Abstract: 
There has been mixed evidence regarding the existence of rational bubbles in the foreign exchange markets. This paper introduces recently developed sequential unit root tests into the analysis of exchange rates bubbles. We nd strong evidence of explosive behavior in the nominal Sterling-dollar exchange rate. However, this explosive behavior should not be simply interpreted as evidence of rational bubbles, as we show that it might be driven by the relative prices of traded goods.
Subjects: 
exchange rates
rational bubbles
sequential unit root test
JEL: 
C1
F3
Document Type: 
Working Paper

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