6533b835fe1ef96bd129f500

RESEARCH PRODUCT

Testing explosive bubbles with time-varying volatility: the case of Spanish public debt

Vicente EsteveMaría A. Prats

subject

time-varying volatilityHG Financeexplosive autoregressionrational bubblepublic debtJ Political ScienceUNESCO::CIENCIAS ECONÓMICASHJ Public Financeright-tailed unit root testingFinance

description

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 et al., 2016; Harvey et al., 2019, 2020; Kurozumi et al., 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.

yearjournalcountryeditionlanguage
2023-01-01
10.1016/j.frl.2022.103330http://eprints.lse.ac.uk/116980/