Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies
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...
| Main Authors: | , |
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| Format: | Journal Article |
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Elsevier BV * North-Holland
2017
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| Online Access: | http://hdl.handle.net/20.500.11937/56645 |
| _version_ | 1848759904086523904 |
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| author | Hu, Y. Oxley, Leslie |
| author_facet | Hu, Y. Oxley, Leslie |
| author_sort | Hu, Y. |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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$-Mexican Peso crisis of 1994–95 was a bubble. Of particular interest to financial market trading, is that newly emerging countries, with relatively shallow financial markets, may be more likely to exhibit bubbly behavior in foreign exchange markets than more mature G10 countries. |
| first_indexed | 2025-11-14T10:07:17Z |
| format | Journal Article |
| id | curtin-20.500.11937-56645 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:07:17Z |
| publishDate | 2017 |
| publisher | Elsevier BV * North-Holland |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-566452018-01-09T06:57:51Z Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies Hu, Y. Oxley, Leslie The existence, or otherwise, of bubbles has become a topical issue in economics and finance, particularly following the Global Financial Crisis. Using the generalized sup ADF (GSADF), unit root tests of Phillips et al. (2015a, PSY) we investigate evidence for exchange rate bubbles in some G10, Asian and BRICS countries from Mar.1991-Dec.2014. We conclude that the US$-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. 2017 Journal Article http://hdl.handle.net/20.500.11937/56645 10.1016/j.econmod.2017.02.022 Elsevier BV * North-Holland restricted |
| spellingShingle | Hu, Y. Oxley, Leslie Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title | Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title_full | Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title_fullStr | Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title_full_unstemmed | Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title_short | Are there bubbles in exchange rates? Some new evidence from G10 and emerging market economies |
| title_sort | are there bubbles in exchange rates? some new evidence from g10 and emerging market economies |
| url | http://hdl.handle.net/20.500.11937/56645 |