Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels
Cerqueti, R and Costantini, M (2011). Testing for rational bubbles in the presence of structural breaks: Evidence from nonstationary panels. Journal of Banking & Finance. 35 (10), pp. 2598-2605.
|Authors||Cerqueti, R and Costantini, M|
This paper presents new results on the rational bubbles hypothesis for a panel of 18 OECD countries using the model developed by Campbell (2000). We provide an analysis of international data that exploits increased power deriving from the panel unit root and cointegration methodology, together with the flexibility of allowing explicitly for multiple endogenous structural breaks in the individual series. Differently from the time series methodology, the panel data approach allows for a global analysis of the financial crashes that are related to rational bubbles. We find strong evidence in favor of bubbles phenomena.
|Keywords||Rational bubbles; International financial markets; Panel data; Unit root; Cointegration|
|Journal||Journal of Banking & Finance|
|Journal citation||35 (10), pp. 2598-2605|
|Digital Object Identifier (DOI)||doi:10.1016/j.jbankfin.2011.02.011|
|Online||23 Feb 2011|
|Publication process dates|
|Accepted||16 Feb 2011|
|Deposited||07 Apr 2020|
|Accepted author manuscript|
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