{"title":"ON THE EXCHANGE RATE OF THE DOLLAR: MARKET FUNDAMENTALS VERSUS SPECULATIVE BUBBLES","authors":"Nikitas Pittis","doi":"10.1111/J.1467-9957.1993.TB00230.X","DOIUrl":null,"url":null,"abstract":"This paper carries out indirect tests for stochastic exchange rate bubbles in the context of a Dornbusch-type monetary model by comparing the order of integrability and examining the conintegrability between exchange rates and variables in the fundamentals. Special emphasis is given to the period of sharp appreciation of the dollar, January 1981 to February 1985. In two out of the three rates examined in this paper, the null no-bubbles hypothesis cannot be rejected by any of the tests when some possible sources of model misspecification are taken into account. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester","PeriodicalId":83172,"journal":{"name":"The Manchester school of economic and social studies","volume":"246 1","pages":"167-184"},"PeriodicalIF":0.0000,"publicationDate":"1993-06-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"The Manchester school of economic and social studies","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1111/J.1467-9957.1993.TB00230.X","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 6
Abstract
This paper carries out indirect tests for stochastic exchange rate bubbles in the context of a Dornbusch-type monetary model by comparing the order of integrability and examining the conintegrability between exchange rates and variables in the fundamentals. Special emphasis is given to the period of sharp appreciation of the dollar, January 1981 to February 1985. In two out of the three rates examined in this paper, the null no-bubbles hypothesis cannot be rejected by any of the tests when some possible sources of model misspecification are taken into account. Copyright 1993 by Blackwell Publishers Ltd and The Victoria University of Manchester
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