Testing for price bubbles: the case of transition economy

Maria Garvalova

Applied Financial Economics, 2000, vol. 10, issue 4, 419-422

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.

Date: 2000
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DOI: 10.1080/09603100050031543

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