TESTING FOR SPECULATIVE BUBBLES USING SPOT AND FORWARD PRICES
利用周期性崩溃泡沫在现货与远期价格间产生的差距，结合递归单位根检验和滚动Fama回归检测泡沫，应用于美元汇率和标普500指数，发现德国恶性通胀期间存在泡沫但近期浮动汇率时期没有，美国股市存在泡沫。
Abstract The probabilistic structure of periodically collapsing bubbles creates a gap between future spot and forward (futures) asset prices in small samples. By exploiting this fact, we use a recently developed recursive unit root test and rolling Fama regressions for detecting bubbles. Both methods do not rely on a particular model of asset price determination, are robust to explosive fundamentals, and allow date stamping. An application to U.S. dollar exchange rates provides evidence of bubbles during the interwar German hyperinflation, but not during the recent floating‐rate period. A further application to S&P 500 supports the existence of bubbles in the U.S. equity market.