Periodically Collapsing Speculative Bubbles in Industries

Using the Markov regime switching unit root testing procedure developed by Hall, Psaradakis, and Sola (1999), we test the presence of periodically collapsing bubbles as postulated by Minsky (1975), in the time series of industry indices. Results indicate that although the industry index series may exhibit the presence of periodically collapsing bubbles during shorter time periods, such bubbles may not be detected during long time periods. We also find that bubbles in one industry can have an impact on the time series of another industry. In some cases, a bubble in one industry may lead to a bubble in another