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.
Exchange Rate Bubble Behavior Financial Instability COVID-19 Right-Tailed Test
Birincil Dil | İngilizce |
---|---|
Konular | Yöneylem |
Bölüm | Araştırma Makalesi |
Yazarlar | |
Yayımlanma Tarihi | 31 Aralık 2020 |
Yayımlandığı Sayı | Yıl 2020 Cilt: 1 Sayı: 1 |
Journal of Sustainable Economics and Management Studies (ECOMAN)
2718-1065 (Printed ISSN) & 2791-8084 (Electronic ISSN)
ecoman@gelisim.edu.tr