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Erscheinungsjahr: 
2013
Schriftenreihe/Nr.: 
SFB 649 Discussion Paper No. 2013-012
Verlag: 
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, Berlin
Zusammenfassung: 
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.
Schlagwörter: 
exchange rates
rational bubbles
sequential unit root test
JEL: 
C1
F3
Dokumentart: 
Working Paper

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