Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?

Meese, Richard

doi:10.1086/261377

Cited by 216 publications

(104 citation statements)

References 38 publications

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“…5 Meese (1986) mechanisms while investigating the existence of multiple bubbles. Other break testing procedures such as Chow tests, model selection, and CUSUM tests have also been applied for dating bubbles (see for example, for a detailed review in this regard Homm andBreitung, 2012, andKruse, 2013).…”

Section: Literature Reviewmentioning

confidence: 99%

Periodically collapsing bubbles in the South African stock market

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Gupta

Jooste

et al. 2016

Research in International Business and Finance

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Abstract:This paper studies the existence and timing of bubbles in South Africa's stock market. An empirical model of bubble formation is tested against three competing models of asset price returns that rule out the existence of bubbles. The model controls for nonlinearities inherent in asset price returns by allowing for the existence of multiple regimes. The bubble model fits the data better than the competing models and suggests that the formation and existence of periodically collapsing bubbles are a reality.

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Section: Literature Reviewmentioning

confidence: 99%

Periodically collapsing bubbles in the South African stock market

Balcılar

Gupta

Jooste

et al. 2016

Research in International Business and Finance

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“…In modem terms, he argued that destabilizing speculation would be incon-4. For example, Meese andRogoff (1983a, 1983b). 5.…”

Section: As + = -O(s -) (5)mentioning

confidence: 99%

“…But we also saw that they are in fact highly autocorrelated. If the deviations are thought to have an autocorrelation coefficient of 1, that is, if the real exchange rate is thought to follow a random walk, we have the version of the monetary model used by Meese (1986). The equation could simply be estimated on first differences.…”

Section: Regressions Of Exchange Rate Determinationmentioning

confidence: 99%

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Are Exchange Rates Excessively Variable?

Frankel¹,

Meese²

1987

NBER Macroeconomics Annual

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The proponents of floating exchange rates before 1973 did not promise that exchange rates would necessarily be stable under such a system, but only that they would be as stable as the underlying macroeconomic fundamentals.' Nevertheless, the widespread feeling is that exchange rates have turned out to be more volatile than necessary. Many practitioners believe that exchange rates are driven by psychological factors and other irrelevant market dynamics, rather than by economic fundamentals. Support seems to have grown in the 1980s for "target-zone" proposals, or some other sort of government action to stabilize exchange rates.2 The Meaning of "Excessive Variability"Economists have understood for some time that under conditions of high international capital mobility, currency values will move sharply and unexpectedly in response to new information. Even so, actual movements of exchange rates have been puzzling in two major respects. First, the proportion of exchange-rate changes that we are able to predict seems to be not just low, but zero. According to rational expectations theory we should be able to use our models to predict that proportion of exchangerate changes that is correctly predicted by exchange market participants. Yet neither models based on economic fundamentals, nor simple timeseries models, nor the forecasts of market participants as reflected in the forward discount or in survey data, seem able to predict better than the lagged spot rate. Also, the proportion of exchange-rate movements that

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“…On bubbles, see inter alia Meese (1986) and Evans (1986). On sunspots, see Manuelli and Peck (1990) and King, Weber, and Wallace (1992).…”

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confidence: 99%

Robustness and exchange rate volatility

Djeutem¹,

Kasa²

2013

Journal of International Economics

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Abstract. This paper studies exchange rate volatility within the context of the monetary model of exchange rates. We assume agents regard this model as merely a benchmark, or reference model, and attempt to construct forecasts that are robust to model misspecification. We show that revisions of robust forecasts are more volatile than revisions of nonrobust forecasts, and that empirically plausible concerns for model misspecification can easily explain observed exchange rate volatility.

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Testing for Bubbles in Exchange Markets: A Case of Sparkling Rates?

Cited by 216 publications

References 38 publications

Periodically collapsing bubbles in the South African stock market

Periodically collapsing bubbles in the South African stock market

Are Exchange Rates Excessively Variable?

Robustness and exchange rate volatility

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