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    Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies

    Access Status
    Fulltext not available
    Authors
    Hu, Y.
    Oxley, Leslie
    Date
    2017
    Type
    Journal Article
    
    Metadata
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    Citation
    Hu, Y. and Oxley, L. 2017. Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies. Economic Modelling. 64: pp. 419-442.
    Source Title
    Economic Modelling
    DOI
    10.1016/j.econmod.2017.02.022
    ISSN
    0264-9993
    School
    School of Economics and Finance
    URI
    http://hdl.handle.net/20.500.11937/56645
    Collection
    • Curtin Research Publications
    Abstract

    The existence, or otherwise, of bubbles has become a topical issue in economics and finance, particularly following the Global Financial Crisis. Using the generalized sup ADF (GSADF), unit root tests of Phillips et al. (2015a, PSY) we investigate evidence for exchange rate bubbles in some G10, Asian and BRICS countries from Mar.1991-Dec.2014. We conclude that the US$-Mexican Peso crisis of 1994–95 was a bubble. Of particular interest to financial market trading, is that newly emerging countries, with relatively shallow financial markets, may be more likely to exhibit bubbly behavior in foreign exchange markets than more mature G10 countries.

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