Work

Rational speculative bubbles and duration dependence in exchange rates: an analysis of five currencies

Year: 2006

Type: article

Abstract: We investigate the presence of rational speculative bubbles in the exchange rates of the British pound, the Canadian dollar, the Danish krone, the Japanese yen and the South African rand against the US dollar. The unit root test shows that the exchange rates and fundamental variables – money supply, income and interest rates – are integrated of order one, indicating no rational speculative bubbles. Further, the cointegration test indicates evidence of a long-run relationship between the exchange rate series and the fundamental variables, corroborating that no speculative bubble is present. The results of the non-parametric duration dependence test suggest that rational expectations bubbles do not affect these exchange rates.

Source: Applied Financial Economics

DOI: 10.1080/09603100500378997

Authors: Benjamas Jirasakuldech, Riza Emekter, Peter Went

Institutions: University of the Pacific, Sakarya University, Robert Morris University, Bucknell University

Language: English

Topic: Monetary Policy and Economic Impact

Subfield: General Economics, Econometrics and Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1993501550

FWCI: 2.003

Cites: 57

Cited by: 13

Related to: 10