- Eurasian Research Journal
- Vol: 3 Issue: 2
- ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST
ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST
Authors : Mert Ural
Pages : 7-18
View : 15 | Download : 6
Publication Date : 2021-07-30
Article Type : Research
Abstract :Since most of the financial crisis caused by the bursting bubble of financial assets, the investigation of bubble behaviors and the early detection for the prevention of adverse economic consequences is important. This paper investigates whether multiple price bubbles exist in USDKZT exchange rate on the basis of a recursive right tailed Generalized Supremum Augmented Dickey Fuller Test (GSADF) developed by Phillips, Shi and Yu (2015), as well as to determine date stamps of the price bubbles. In this regard, we performed GSADF test by using weekly closing prices of the nominal exchange rate for the period between 23.08.2015 to 04.04.2021. In line with the empirical findings obtained, two explosive bubbles are detected in 2018 and 2020 when USDKZT exchange rate deviates from fundamental value. Our findings suggest that due to the possibility of bubble repetition, GSADF has been verified to be a better test for detecting bubbles.Keywords : Multiple Bubbles, USDKZT Exchange Rate, GSADF Unit Root Test