Regime switching as a test for exchange rate bubbles
提出一种新的投机泡沫检验方法，应用于1977至1991年日元、德国马克和加元汇率数据，发现泡沫假设的成立与否取决于基本面模型的选择。
This paper develops a new test for speculative bubbles, which is applied to data for the Japanese yen, the German mark and the Canadian dollar exchange rates from 1977 to 1991. The test assumes that bubbles display a particular kind of regime-switching behaviour, which is shown to imply coefficient restrictions on a simple switching-regression model of exchange rate innovations. Test results are sensitive to the specification of exchange rate fundamentals and other factors. Evidence most consistent with the bubble hypothesis is found using an overshooting model of the Canadian dollar and a PPP model of the Japanese yen.