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

Esteve, Vicente and Prats, María A. (2023) Testing explosive bubbles with time-varying volatility: the case of Spanish public debt. Finance Research Letters, 51. ISSN 1544-6123

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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 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.

Item Type:	Article
Official URL:	https://www.sciencedirect.com/journal/finance-rese...
Additional Information:	© 2022 The Author(s).
Divisions:	European Institute
Subjects:	H Social Sciences > HG Finance J Political Science H Social Sciences > HJ Public Finance
Date Deposited:	13 Oct 2022 14:36
Last Modified:	18 Nov 2024 08:42
URI:	http://eprints.lse.ac.uk/id/eprint/116980

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