The purpose of this paper is to test for the presence of
price and exchange rate bubbles in Cagan's model using data from the interwar
European hyperinflations of Germany, Hungary, and Poland. Markov-switching
cointegration test would be adopted for the empirical analysis. Then, the
regime-shifting behaviour of time series variables is assumed to depend on
unobservable states generated by a first-order Markov chain. The probability
law that governs the Markov-switching regimes is advantageous in that it is
more flexible and allows the data to determine the specific form of
nonlinearities that are consistent with the sample information. Inferences
about the probabilities of the unobservable states at each point in time can
also be made.
Author(s)details:-
Kai-Yin Woo
(Associate Professor)
Department of Economics and Finance, Hong Kong Shue Yan University, Hong
Kong.
Please See the book
here :- https://doi.org/10.9734/bpi/mono/978-81-973195-8-7/CH3
No comments:
Post a Comment