An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations

Hing Lin CHAN*, Shu Kam Lee, Kai Yin Woo

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

8 Citations (Scopus)

Abstract

This study attempts to test for the presence of price and exchange rate bubbles during the interwar European hyperinflations of Germany, Hungary, and Poland. We suggest a testing methodology, which extends the Durlauf-Hooker approach, for conducting this empirical study. Exact Cagan hyperinflation models under rational expectations are rejected and evidence of neither price nor exchange rate bubbles can be found for the three countries examined.

Original languageEnglish
Pages (from-to)327-344
Number of pages18
JournalInternational Review of Economics and Finance
Volume12
Issue number3
DOIs
Publication statusPublished - 2003

Scopus Subject Areas

  • Finance
  • Economics and Econometrics

User-Defined Keywords

  • Bubbles
  • Fully modified method
  • Hyperinflation
  • Model misspecification

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