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Testing for price bubbles: the case of transition economy

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  • Maria Garvalova

Abstract

This paper investigates the possibility that the observed deviations of the price changes can be explained by a bubbles hypothesis in the specific case of the transition economy in Bulgaria. The rational expectations model is used for testing the hypothesis of no bubbles. We examine the time series properties of the monthly data for period from May 1991 to December 1996. After testing the validity of Cagan's hyperinflation model we are able to reject the no bubbles hypothesis for period from January 1995 to December 1996.

Suggested Citation

  • Maria Garvalova, 2000. "Testing for price bubbles: the case of transition economy," Applied Financial Economics, Taylor & Francis Journals, vol. 10(4), pages 419-422.
    • Handle: RePEc:taf:apfiec:v:10:y:2000:i:4:p:419-422
    DOI: 10.1080/09603100050031543
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    Cited by:

    1. J. Cunado & L. A. Gil-Alana & F. Perez de Gracia, 2007. "Testing for stock market bubbles using nonlinear models and fractional integration," Applied Financial Economics, Taylor & Francis Journals, vol. 17(16), pages 1313-1321.

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