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

Hing Lin Chan; Shu Kam Lee; Kai Yin Woo

doi:10.1016/S1059-0560(02)00108-9

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 journal › Journal article › peer-review

9 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 language	English
Pages (from-to)	327-344
Number of pages	18
Journal	International Review of Economics and Finance
Volume	12
Issue number	3
DOIs	https://doi.org/10.1016/S1059-0560(02)00108-9
Publication status	Published - 2003

Scopus Subject Areas

Finance
Economics and Econometrics

User-Defined Keywords

Bubbles
Fully modified method
Hyperinflation
Model misspecification

Access to Document

10.1016/S1059-0560(02)00108-9

Cite this

@article{478c59287d394b78955ef0ab1fd7ab7f,

title = "An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations",

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.",

keywords = "Bubbles, Fully modified method, Hyperinflation, Model misspecification",

author = "Chan, {Hing Lin} and Lee, {Shu Kam} and Woo, {Kai Yin}",

year = "2003",

doi = "10.1016/S1059-0560(02)00108-9",

language = "English",

volume = "12",

pages = "327--344",

journal = "International Review of Economics and Finance",

issn = "1059-0560",

publisher = "Elsevier Inc.",

number = "3",

}

TY - JOUR

T1 - An empirical investigation of price and exchange rate bubbles during the interwar European hyperinflations

AU - Chan, Hing Lin

AU - Lee, Shu Kam

AU - Woo, Kai Yin

PY - 2003

Y1 - 2003

N2 - 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.

AB - 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.

KW - Bubbles

KW - Fully modified method

KW - Hyperinflation

KW - Model misspecification

UR - http://www.scopus.com/inward/record.url?scp=0038035888&partnerID=8YFLogxK

U2 - 10.1016/S1059-0560(02)00108-9

DO - 10.1016/S1059-0560(02)00108-9

M3 - Journal article

AN - SCOPUS:0038035888

SN - 1059-0560

VL - 12

SP - 327

EP - 344

JO - International Review of Economics and Finance

JF - International Review of Economics and Finance

IS - 3

ER -

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

Abstract

Scopus Subject Areas

User-Defined Keywords

Access to Document

Other files and links

Fingerprint

Cite this