ANALYZING MULTIPLE BUBBLES IN THE USDKZT EXCHANGE RATE USING THE GSADF TEST

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Eurasian Research Journal
Volume: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 : 45 | Download : 11

Publication Date : 2021-07-30

Article Type : Research Paper

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 insert ignore into journalissuearticles values(GSADF); developed by Phillips, Shi and Yu insert ignore into journalissuearticles values(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

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