Spekulative Seifenblasen auf den Devisenmärkten - Ein kurzlebiges Phänomen?

Speculative Bubbles in the Foreign Exchange Market - A Short-Lived Phenomenon? From an empirical viewpoint the existence of speculative bubbles in the foreign exchange market is not well established. This paper tests the hypothesis that speculative bubbles are a short-lived phenomenon. To explain large exchange rate changes a new test procedure is developed that allows to distinguish between bursting bubbles and news effects. For the (daily) deutsche mark/U.S. dollar exchange rate the existence of speculative bubbles and the short duration of lifehypothesis is supported. Evidence is also found that news effects influence the exchange rate, but these effects are not permanent. News effects were quickly reversed over the following few days