Testing Explosive Bubble for Eurozone Exchange Rate in the COVID-19 Outbreak: Evidence from Recursive Right-Tailed Tests
| dc.authorid | https://orcid.org/0000-0002-3804-0062 | en_US |
| dc.contributor.author | Özdemir, Onur | |
| dc.date.accessioned | 2021-08-29T10:34:26Z | |
| dc.date.available | 2021-08-29T10:34:26Z | |
| dc.date.issued | 2020 | en_US |
| dc.department | İktisadi İdari ve Sosyal Bilimler Fakültesi | en_US |
| dc.description.abstract | 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. | en_US |
| dc.identifier.endpage | 45 | en_US |
| dc.identifier.issn | 2718-1065 | |
| dc.identifier.issue | 1 | en_US |
| dc.identifier.startpage | 32 | en_US |
| dc.identifier.uri | https://hdl.handle.net/11363/2909 | |
| dc.identifier.volume | 1 | en_US |
| dc.institutionauthor | Özdemir, Onur | |
| dc.language.iso | en | en_US |
| dc.publisher | İstanbul Gelişim Üniversitesi Yayınları / Istanbul Gelisim University Press | en_US |
| dc.relation.ispartof | Journal of Sustainable Economics and Management Studies | en_US |
| dc.relation.publicationcategory | Makale - Ulusal Hakemli Dergi - Kurum Öğretim Elemanı | en_US |
| dc.rights | info:eu-repo/semantics/openAccess | en_US |
| dc.rights | Attribution-NonCommercial-NoDerivs 3.0 United States | * |
| dc.rights.uri | http://creativecommons.org/licenses/by-nc-nd/3.0/us/ | * |
| dc.subject | Exchange Rate | en_US |
| dc.subject | Bubble Behavior | en_US |
| dc.subject | Financial Instability | en_US |
| dc.subject | COVID-19 | en_US |
| dc.subject | Right-Tailed Test | en_US |
| dc.title | Testing Explosive Bubble for Eurozone Exchange Rate in the COVID-19 Outbreak: Evidence from Recursive Right-Tailed Tests | en_US |
| dc.type | Article | en_US |
