Testing explosive bubbles with time-varying volatility: The case of the Spanish public debt, 1850-2021
Publisher
Universidad de Alcalá. Instituto Universitario de Análisis Económico y Social
Date
2022-10Bibliographic citation
Documentos de trabajo. IAES-Instituto Universitario de Análisis Económico y Social, Universidad de Alcalá, N. 08, 2022. ISSN 2172-7856
Keywords
Public debt
Rational bubble
Explosive autoregression
Time-varying volatility
Right-tailed unit root testing
Description / Notes
22 p.
Document type
info:eu-repo/semantics/workingPaper
Rights
Attribution-NonCommercial-NoDerivatives 4.0 Internacional
Access rights
info:eu-repo/semantics/openAccess
Abstract
In this paper the dynamics of the Spanish public debt-GDP ratio is analysed during the period 1850-2021. We use recent procedures to test for explosive bubbles in the presence under time-varying volatility (Harvey, Leybourne, Sollisand Taylor (2016), Harvey, Leybourne and Zu (2019,2020),Kurozumi, Skorobotov and Tsarev (2022)) in order to test the explosive behavior of Spanish public debt over this long period. We extend previous analysis of Esteve and Prats (2022) where assume constant unconditional volatility in the underlying error process.
Files in this item
Files | Size | Format |
|
---|---|---|---|
testing_esteve_IAESDT_2022_N08.pdf | 616.1Kb |
|
Files | Size | Format |
|
---|---|---|---|
testing_esteve_IAESDT_2022_N08.pdf | 616.1Kb |
|