@article{Switching:676,
      recid = {676},
      author = {van Norden, Simon},
      title = {Regime Switching as a Test for Exchange Rate Bubbles},
      publisher = {Bank of Canada},
      address = {1993},
      pages = {1 online resource (v, 57 pages)},
      abstract = {This paper develops a new test for speculative bubbles  which is applied to data for the exchange rate of the  Japanese yen, the Deutsche mark and the Canadian dollar  against the U.S. dollar from 1977 to 1991. The test assumes  that bubbles display a particular kind of regime-switching  behaviour, which is shown to imply coefficient restrictions  on a simple switching-regression model of exchange rate  innovations. Test results are sensitive to the  specification of exchange rate fundamentals and other  factors. An overshooting model of the Canadian dollar and a  purchasing-power parity model of the Japanese yen give the  most consistent evidence of bubbles.},
      url = {http://www.oar-rao.bank-banque-canada.ca/record/676},
      doi = {https://doi.org/10.34989/swp-1993-5},
}