14-30

• Κυρίκος, Δημήτρης Γ.
• Rich, Robert W.

In this paper we conduct an indirect test for speculative bubbles in the exchange value of the currencies of Germany and the United Kingdom relative to the U.S, dollar. Our test is general enough to include models that either assume the validity of purchasing power parity (PPP) or arrive at a PPP-type relationship. On the empirical side, the test is based on a unit root test appropriate for general ARMA representations of the underlying time series. We obtain strong evidence against the presence of bubbles over the free floating period 1974-87.

• Economics and Business
• Computer and information sciences

• Finance
• Economics
• Statistics

econometrics

Περιέχει παράρτημα πινάκων, υποσημειώσεις και βιβλιογραφία, The authors would like to thank, without implicating, J. S. Butler for his useful comments.