Testing Four Types of Bubbles in BRICS Exchange Rates

摘要

We test for the presence of four types of rational bubbles in the BRICS exchange rates against the US dollar. For the fundamental value of the exchange rate we use two structural specifications: the pure PPP rule, and a modified PPP rule where PPP is adjusted for the interest rate differential between the country and the US. For the bubble dynamics we consider four models: explosive bubbles, multiple bubbles, periodically collapsing bubbles of the Evans type, and intrinsic bubbles. We find evidence of the presence of at least one of these bubbles for Brazil, Russia, India, and South Africa, but none for China, confirming the results of other periodically recurring bubble tests for this dataset.