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C-2011-003 2011 2 18 A Kalman-Filtering Analysis of Exchange Rate Bubbles * Zhao-Wei (Wayne) WANG Department of Finance, School of Economics, Peking University * Tel: 1#No. 256 1 E-mail: wayne.eco818@163.com A Kalman-Filtering Analysis of Exchange Rate Bubbles F31 C32 C51 Abstract In the past literatures, “bubbles” is defined as the deviation of an asset’s price from the value of its market fundamentals. Based on Flood and Hodrick(1990) and Meese(1986) this paper sets up a exchange rate determination equation including a bubble size term, then we adopt a state space model and mak