期刊名称：Documentos de Trabajo / Instituto Universitario de Análisis Económico y Social
印刷版ISSN：1139-6148
出版年度：2021
卷号：6
页码：1-33
语种：Spanish
出版社：Universidad de Alcalá de Henares: Instituto Universitario de Análisis Económico y Social (SERVILAB) ; Dialnet
摘要：In this article, we test a classical model of ináation with rational expectations for the case of Spain during the period 1830ñ1998. The principal testable implication is that money growth and ináation are cointegrated ruling out speculative bubbles. First, to detect episodes of potential explosive behaviour in the Spanish ináation rate, we use the recursive unit root tests for explosiveness recently proposed by Phillips, Wu, and Yu (2011), and Phillips, Shi, and Yu (2015a,b). Second, we consider the possibility that a linear cointegrated regression model with multiple structural changes would provide a good empirical description of the classical model of ináation for Spain over this long period. Our methodology is based on the instability tests recently proposed in Kejriwal and Perron (2008, 2010) as well as the cointegration tests developed in Arai and Kurozumi (2007) and Kejriwal (2008).
