Abstract
Identifying and dating financial bubbles in real time is at the forefront of current empirical research. The ability to recognize these events in real time can provide very useful alerts to central bankers and fiscal regulators. The complexity, however, of their nonlinear structure and the inherent sudden break mechanisms make econometric testing challenging. Recent econometric advances propose a recursive flexible window methodology that can detect single and multiple financial bubbles. It successfully, ex-ante, identifies the well-known historical episodes of exuberance and collapse and can differentiate between periodically collapsing bubbles and strong financial growth. One sizeable strand of the current research into financial bubbles is its application to exchange rate bubbles. However, very little research has been completed for a major currency, namely the Indian Rupee. We apply the newly developed econometric techniques to the Indian Rupee versus the U.S. dollar, Euro, SDR, Pound Sterling, and Yen over the long run.
Recommended Citation
AUSTIN, ADRIAN M.; DUTT, SWARNA DYUTI; and Ghosh, Dipak
(2025)
"TESTING FOR EXCHANGE RATE BUBBLES FOR THE INDIAN RUPEE VERSUS MAJOR WORLD CURRENCIES: AN EMPIRICAL EXAMINATION OVER THE LONG RUN,"
Pennsylvania Economic Review: Vol. 32:
No.
1, Article 4.
DOI: https://doi.org/10.65193/3067-8080.1018