Testing Explosive Bubble for Eurozone Exchange Rate in the COVID-19 Outbreak: Evidence from Recursive Right-Tailed Tests
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Tarih
2020
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press
Erişim Hakkı
info:eu-repo/semantics/openAccess
Attribution-NonCommercial-NoDerivs 3.0 United States
Attribution-NonCommercial-NoDerivs 3.0 United States
Özet
This paper investigates the presence of explosive bubbles in financial markets using daily data (5-day weeks) of the closing rate of EUR/USD exchange in the COVID-19 outbreak, covering the period from December 2, 2019 to December 4, 2020. The bubble behavior in the closing rate of EUR/USD exchange is measured by two distinct right-tailed testing procedures. In this vein, the Supremum Augmented Dickey-Fuller (SADF) test developed by Phillips et al. (2011) and the Generalized Supremum Augmented Dickey-Fuller (GSADF) test developed by Phillips et al. (2015) are used to identify multiple bubble periods. The empirical findings imply that positive bubbles are a common feature of the closing rate of EUR/USD exchange in the COVID-19 outbreak. As a critical year, 2020 is identified to point out the importance of explosive bubble behavior, after which estimated statistics by two types of unit-root test procedures provide evidence of ongoing financial instability.
Açıklama
Anahtar Kelimeler
Exchange Rate, Bubble Behavior, Financial Instability, COVID-19, Right-Tailed Test
Kaynak
Journal of Sustainable Economics and Management Studies
WoS Q Değeri
Scopus Q Değeri
Cilt
1
Sayı
1
