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

    Fingerprint

    Dive into the research topics of 'An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations'. Together they form a unique fingerprint.

    Cite this