PDF
FLIP
HTML
XML
Esta revista está autorizada por una licencia de atribución Creative Commons (CC BY-NC-SA 4.0) Attribution-Non Commercial 4.0 International. Para las licencias CC, el principio es el de la libertad creativa. Este sistema complementa el derecho de autor sin oponerse a este, conscientes de su importancia en nuestra cultura. El contenido de los artículos es responsabilidad de cada autor y no compromete, de ninguna manera, a la revista o a la institución. Se permite la divulgación y reproducción de títulos, resúmenes y contenido total, con fines académicos, científicos, culturales, siempre y cuando, se cite la respectiva fuente. Esta obra no puede ser utilizada con fines comerciales.
La revista no cobra a los autores por la presentación o la publicación de sus artículos
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.
Palabras clave:
Citas
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.
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
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
Hall, S. y Sola, M. (1993). Testing for collapsing bubbles: test, an endogenous Switching ADF (Discussion Paper 15-93, London Business School).
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
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
Keynes, J. M. (1936). The general theory of emplyment, interest and money. Londres: MacMillan.
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
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
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
Martinez, C. (2008). The effects of financial intermediation on Colombian economic growth. Revista Ensayos Sobre Política Económica, 26(57), 250-280.
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
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
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
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
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.
Shell, K. (1971). Notes on the Economics of Infinity. Journal of Political Economy, 79(5), 1002. Doi: http://dx.doi.org/10.1086/259811
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/
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.
Shiller, R. J. (2005). Irrational exuberance (2.a ed.). Broadway Books.
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
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
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
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
Stock, J. H. y Watson, M. W. (2002b). Macroeconomic forecasting using diffusion indexes. Journal of Business Economics and Statistics, 20(2), 147-162.
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.
Tirole, J. (1982). On the possibility of speculation under rational expectations. Econometrica, 50(5), 1163-1182. Doi: http://dx.doi.org/10.2307/1911868
Tirole, J. (1985). Asset bubbles and overlapping generations. Econometrica, 53(6), 1499-1528. Doi: http://dx.doi.org/10.2307/1913232
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
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
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.
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.
Uribe, J. M. y Mosquera, S. (2015). A comparative analysis of stock market cycles. Macroeconomics and Finance in Emerging Market Economies.(en prensa)
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.
Uribe, J. M. y Ulloa, I. (2014). Burbujas financieras: dos alternativas de identificación aplicadas a Colombia. Sociedad y Economía, (27), 47-72.
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
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
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
West, K. D. (1988). Dividend Innovations and Stock Price Volatility. Econometrica, 56(1), 37-61. Doi: http://dx.doi.org/10.2307/1911841
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
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
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
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
Citado por
