Bubble Migration Across Asset Classes during the Global Financial Crises

Abstract

This paper combines the new, mildly explosive/multiple bubbles technology proposed by Phillips, Shi and Yu (PSY, 2015) with the bubble migration test proposed by Phillips and Yu (2011, PY) to analyse the time series behaviour of a number of key macroeconomic and financial variables during the Global Financial Crisis (GFC). The purpose of this paper is to characterize the sequential nature of bubble migration during the GFC using a wider group of variables than Caballero et al. (2008) and PY (2011), in particular recognizing potential roles for both macro and financial variables.