Rational bubbles. Theoretical basis, economic relevance, and empirical evidence with a special emphasis on the German stock market
This monograph is focused on the possibility of bubbles in partial markets and tries to examine their existence empirically. The intention is threefold: First to broaden the set of bubbles discussed in literature so far by providing a theoretical framework for deriving bubbles from simple stochastic processes. Second to clarify to relevance of bubbles by discussing the three most popular applications of bubbles in economic theory, i.e. bubbles on capital markets, on foreign exchange markets and in hyperinflationary periods. Third, possible testing strategies for gaining evidence of the existence of bubbles are described, which are then applied to several bubble specifications on the German stock market.
scientific article; zbMATH DE number 1025601