Cómo citar
Fernández Mejía , J., & Uribe , J. M. (2016). Análisis de procesos explosivos en el precio de los activos financieros : evidencia alrededor del mundo. Revista Finanzas y Política Económica, 8(1), 83-103. https://doi.org/10.14718/rf&pe.v8i1.929

Resumen

En este artículo se analizan diferentes índices accionarios de mercados alrededor del mundo, en el periodo 1995-2013, con el fin de poner a prueba la existencia y fechar la aparición de procesos explosivos en sus mercados de acciones. Se hace uso de una prueba de signo, para construir diferentes índices de burbujas en los mercados financieros representativos de cada región, y se construye además un índice de las principales regiones financieras a partir de modelos dinámicos por factores. Estos índices permiten caracterizar las regiones en términos de riesgo y, asimismo, de ocurrencia de burbujas financieras. Se encuentra evidencia que señala cierto grado de sincronización entre los episodios de burbujas financieras en los mercados analizados y, en general, en todo el mundo.

Licencia

Derechos de autor 2016 Julián Fernández Mejía, Jorge Mario Uribe

Creative Commons License
Esta obra está bajo licencia internacional Creative Commons Reconocimiento-NoComercial-CompartirIgual 4.0.

Citas

1. Akerlof, G. A. y Shiller, R. J. (2009). Animal spirits: how human psychology drives the economy, and why it matters for global capitalism. Nueva Jersey: Princeton University Press.

2. Allen, F. y Gale, D. (2000). Bubbles and crises. Economic Journal, 110(460), 236-255. Doi: http://dx.doi.org/10.1111/1468-0297.00499

3. Anderson, K. y Brooks, C. (2014). Speculative bubbles and the cross-sectional variation in stock returns. International Review of Financial Analysis, 35, 20-31. Doi: http://dx.doi.org/10.1016/j.irfa.2014.07.004

4. Anderson, K., Brooks, C. y Katsaris, A. (2010). Speculative bubbles in the S&P 500: Was the tech bubble confined to the tech sector? Journal of Empirical Finance, 17(3), 345-361. Doi: http://dx.doi.org/10.1016/j.jempfin.2009.12.004

5. Bai, J. y Ng, S. (2002). Determining the number of factors in approximate factor models. Econometrica. Doi: http://dx.doi.org/10.1111/1468-0262.00273

6. Bai, J. y Ng, S. (2008). Forecasting economic time series using targeted predictors. Journal of Econometrics, 146(2), 304-317. Doi: http://dx.doi.org/10.1016/j.jeconom.2008.08.010

7. Brunnermeier, M. K. y Oehmke, M. (2013). Bubbles, financial Crises, and systemic risk. Recuperado de https://www.gsb.columbia.edu/faculty/moehmke/papers/BrunnermeierOehmkeHandbookSystemicRisk.pdf

8. Caballero, R. J., Farhi, E. y Gourinchas, P.-O. (2008). An equilibrium model of "global imbalances" and low interest rates. The American Economic Review, 98(1), 358-393. Doi: http://dx.doi.org/10.1257/aer.98.1.358

9. Caballero, R. J., Farhi, E. y Gourinchas, P.-O. (2009). Financial crash, commodity prices, and global imbalances. Brookings Papers on Economic Activity. Doi: http://doi.org/10.1353/eca.0.0013

10. Campbell, J. Y. y Shiller, R. J. (1988a). Stock prices, earnings, and expected dividends. Journal of Finance, 43(3), 661-676. Doi: http://dx.doi.org/10.2307/2328190

11. Campbell, J. Y. y Shiller, R. J. (1988b). The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies, 1(3), 1-34. Doi: http://dx.doi.org/10.1093/rfs/1.3.195

12. Canova, F. (2005). The transmission of US shocks to Latin America. Journal of Applied Econometrics, 20(2), 229-251. Doi: http://dx.doi.org/10.1002/jae.837

13. Corsi, F. y Sornette, D. (2014). Follow the money: The monetary roots of bubbles and crashes. International Review of Financial Analysis, 32, 47-59. Doi: http://dx.doi.org/10.1016/j.irfa.2014.01.007

14. Diba, B. T. y Grossman, H. I. (1987). On the Inception of Rational Bubbles. The Quarterly Journal of Economics, 102(3), 697-700. Doi: http://dx.doi.org/10.2307/1884225

15. Diba, B. T. y Grossman, H. L. (1988a). Explosive rational bubbles in stock prices? American Economic Review, 78(3), 520-530. Doi: http://dx.doi.org/10.2307/1809149

16. Diba, B. T. y Grossman, H. L. (1988b). The Theory of Rational Bubbles in Stock Prices. The Economic Journal, 98(392), 746-754. Doi: http://dx.doi.org/10.2307/2233912

17. Dickey, D. A. y Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74(366), 427-431. Doi: http://dx.doi.org/10.2307/2286348

18. Evans, G. W. (1991). Pitfalls in testing for explosive bubbles in asset prices. American Economic Review, 81(4), 922-930. Doi: http://dx.doi.org/10.2307/2006651

19. Farmer, R. E. a. (2012). Confidence, crashes and animal spirits. Economic Journal, 122(559), 155-172. Doi: http://dx.doi.org/10.1111/j.1468-0297.2011.02474.x

20. Froot, K. A. y Obstfeld, M. (1991). Intrinsic bubbles: the case of stock prices. American Economic Review, 81(5), 1189-1214. Doi: http://dx.doi.org/10.1257/aer.89.5.1372

21. Gómez-González, J. E., Ojeda-Joya, J. N., Zárate, H. M. y Tenjo-Galarza, F. (2014). Testing for causality between credit and real business cycles in the frequency domain: an illustration. Applied Economics Letters, 21(10), 697-701. Doi: http://dx.doi.org/10.1080/13504851.2014.884689

22. Gürkaynak, R. S. (2008). Econometric tests of asset price bubbles: Taking stock. Journal of Economic Surveys, 22(1), 166-186. Doi: http://dx.doi.org/10.1111/j.1467-6419.2007.00530.x

23. Hall, S., Psaradakis, Z. y Sola, M. (1999). Detecting periodically collapsing bubbles: a markovswitching unit root test. Journal of Applied Econometrics, 14(2), 143-154. Doi: http://dx.doi.org/10.1002/(SICI)1099-1255(199903/04)14:2<143::AID-JAE500>3.0.CO;2-X

24. Hall, S. y Sola, M. (1993). Testing for collapsing bubbles: test, an endogenous Switching ADF (Discussion Paper 15-93, London Business School).

25. Hamilton, J. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, 57(2), 357-384. Doi: http://dx.doi.org/10.2307/1912559

26. Homm, U. y Breitung, J. (2012). Testing for speculative bubbles in stock markets: A comparison of alternative methods. Journal of Financial Econometrics, 10(1), 198-231. Doi: http://dx.doi.org/10.1093/jjfinec/nbr009

27. Keynes, J. M. (1936). The general theory of emplyment, interest and money. Londres: MacMillan.

28. Leiss, M., Nax, H. H. y Sornette, D. (2015). Super-exponential growth expectations and the global financial crisis. Journal of Economic Dynamics and Control, 55, 1-13. Doi: http://dx.doi.org/10.1016/j.jedc.2015.03.005

29. LeRoy, S. F. y Porter, R. D. (1981). The present-value relation: tests based on implied variance bounds. Econometrica, 49(3), 555-574. Doi: http://dx.doi.org/10.2307/1911512

30. Malevergn, Y. y Sornette, D. (2006). Extreme financial risks: from dependence to risk management. Extreme financial risks: from dependence to risk management. Doi: http://dx.doi.org/10.1007/b138841

31. Martinez, C. (2008). The effects of financial intermediation on Colombian economic growth. Revista Ensayos Sobre Política Económica, 26(57), 250-280.

32. Phillips, P. C. B., Shi, S. y Yu, J. (2014). Specification sensitivity in right-tailed unit root testing for explosive behaviour. Oxford Bulletin of Economics and Statistics, 76(3), 315-333. Doi: http://dx.doi.org/10.1111/obes.12026

33. Phillips, P. C. B., Shi, S.-P. y Wu, Y. (2014). Testing for Multiple Bubbles: Historical Episodes of Exuberance and Collapse in the S&P 500. Recuperado de http://cowles.econ.yale.edu/P/cd/d19a/d1914.pdf

34. Phillips, P. C. B., Wu, Y. y Yu, J. (2011). Explosive Behavior In The 1990S Nasdaq: When did exuberance escalate asset values? International Economic Review, 52(1), 201-226. Doi: http://dx.doi.org/10.1111/j.1468-2354.2010.00625.x

35. Phillips, P. C. B. y Yu, J. (2011). Dating the timeline of financial bubbles during the subprime crisis. Quantitative Economics, 2(3), 455-491. Doi: http://dx.doi.org/10.3982/QE82

36. Samuelson, P. A. (1958). An exact consumption-loan model of interest with or without the social contrivance of Money. Journal of Political Economy, 66(6), 467-482.

37. Shell, K. (1971). Notes on the Economics of Infinity. Journal of Political Economy, 79(5), 1002. Doi: http://dx.doi.org/10.1086/259811

38. Shi, S. (2007). Moving window unit root test: locating real estate price bubbles in Seoul apartment market. Recuperadode http://ink.library.smu.edu.sg/etd_coll/28/

39. Shiller, R. J. (1981). Do stock prices move too much to be justified by subsequent movements in dividends? American Economic Review, 71(3), 421-436.

40. Shiller, R. J. (2005). Irrational exuberance (2.a ed.). Broadway Books.

41. So, B. S. y Shin, D. W. (2001). An invariant sign test for random walks based on recursive median adjustment. Journal of Econometrics, 102(2), 197-229. Doi: http://dx.doi.org/10.1016/S0304-4076(01)00053-7

42. Sornette, D. (2009). Dragon-kings, black swans, and the prediction of crises. International Journal of Terraspace Science and Engineering, 2(1), 1-18. Doi: http://dx.doi.org/10.2139/ssrn.1470006

43. Sornette, D., Woodard, R. y Zhou, W. X. (2009). The 2006-2008 oil bubble: Evidence of speculation, and prediction. Physica A: Statistical Mechanics and its Applications, 388(8), 1571-1576. Doi: http://dx.doi.org/10.1016/j.physa.2009.01.011

44. Stock, J. H. y Watson, M. W. (2002a). Forecasting using principal components from a large number of predictors. Journal of the American Statistical Association, 97(460), 1167-1179. Doi: http://dx.doi.org/10.1198/016214502388618960

45. Stock, J. H. y Watson, M. W. (2002b). Macroeconomic forecasting using diffusion indexes. Journal of Business Economics and Statistics, 20(2), 147-162.

46. Stock, J. H. y Watson, M. W. (2005). Understanding changes in international bussiness cycle dynamics. Journal of the European Economic Association, 3(5), 968-1006.

47. Tirole, J. (1982). On the possibility of speculation under rational expectations. Econometrica, 50(5), 1163-1182. Doi: http://dx.doi.org/10.2307/1911868

48. Tirole, J. (1985). Asset bubbles and overlapping generations. Econometrica, 53(6), 1499-1528. Doi: http://dx.doi.org/10.2307/1913232

49. Uribe, J. M. (2007). Caracterización del mercado accionario colombiano, 2001-2006: un análisis comparativo. Recuperado de http://www.banrep.gov.co/sites/default/files/publicaciones/pdfs/borra456.pdf

50. Uribe, J. M. (2013). Testing for multiple bubbles with daily data. Recuperadode http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/sem_301.pdf

51. Uribe, J. M. y Fernández, J. (2014a). Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina. Lecturas de Economía, (81), 57-90.

52. Uribe, J. M. y Fernández, J. (2014b). Riesgo sistémico en el mercado de acciones colombiano: alternativas de diversificación bajo eventos extremos. Cuadernos de Economía, 33(63), 613-634.

53. Uribe, J. M. y Mosquera, S. (2015). A comparative analysis of stock market cycles. Macroeconomics and Finance in Emerging Market Economies.(en prensa)

54. Uribe, J. M., Mosquera, S. y Restrepo, N. X. (2013). Mercado de Acciones Colombiano. Determinantes macroeconómicos y papel de las AFP. Sociedad y Economía, 24, 207-230.

55. Uribe, J. M. y Ulloa, I. (2014). Burbujas financieras: dos alternativas de identificación aplicadas a Colombia. Sociedad y Economía, (27), 47-72.

56. van Norden, S. (1996). Regime switching as a test for exchange rate bubbles. Journal of Applied Econometrics, 11(3), 219-251. Doi: http://dx.doi.org/10.1002/(SICI)1099-1255(199605)11:3<219::AID-JAE394>3.0.CO;2-S

57. van Norden, S. y Vigfusson, R. (1998). Avoiding the Pitfalls: Can Regime-Switching Tests Reliably Detect Bubbles? Studies in Nonlinear Dynamics & Econometrics. Doi: http://dx.doi.org/10.2202/1558-3708.1038

58. West, K. D. (1987). A Specification Test for Speculative Bubbles. Quarterly Journal of Economics, 102(3), 553-580. Doi: http://dx.doi.org/10.2307/1884217

59. West, K. D. (1988). Dividend Innovations and Stock Price Volatility. Econometrica, 56(1), 37-61. Doi: http://dx.doi.org/10.2307/1911841

60. Wu, Y. (1997). Rational bubbles in the stock market: accounting for the U.S. Stock-price volatility. Economic Inquiry, 35(2), 309-319. Doi: http://dx.doi.org/10.1111/j.1465-7295.1997.tb01912.x

61. Yuhn, K.-H., Kim, S. B. y Nam, J. H. (2015). Bubbles and the Weibull distribution: was there an explosive bubble in US stock prices before the global economic crisis? Applied Economics, 47(3), 255-271. Doi: http://dx.doi.org/10.1080/00036846.2014.969824

62. Zhou, W. X. y Sornette, D. (2003). Renormalization group analysis of the 2000-2002 anti-bubble in the US S&P500 index: Explanation of the hierarchy of five crashes and prediction. Physica A: Statistical Mechanics and its Applications, 330(3-4), 584-604. Doi: http://dx.doi.org/10.1016/j.physa.2003.09.022

63. Zhou, W. X. y Sornette, D. (2005). Testing the stability of the 2000 US stock market "antibubble". Physica A: Statistical Mechanics and its Applications, 348, 428-452. Doi: http://dx.doi.org/10.1016/j.physa.2004.09.032

Descargas

La descarga de datos todavía no está disponible.
Sistema OJS 3 - Metabiblioteca |