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Sobre Burbujas De Precios De Activos, Expectativas Y Equilibrios

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  • José Pablo Dapena

Abstract

De acuerdo a la literatura el precio de un activo (financiero o real) experimenta una burbuja si su precio de mercado se encuentra desajustado de manera persistente en el tiempo con respecto a su valor "intrínseco" o fundamental. En un contexto de racionalidad y eficiencia es difícil aceptar la existencia de estos fenómenos, sin embargo la literatura se ha encargado de reflejar que dichas situaciones pueden ser consistentes en un contexto de optimización y racionalidad, sobre todo cuando el horizonte de vida de los inversores es finito, existe poca variedad de alternativas de inversión, o existen situaciones de información imperfecta con falta de coordinación. Dadas estas situaciones, en el proceso de sostenimiento de la burbuja las expectativas de los inversores acerca del precio del activo adquieren un rol fundamental. En el presente trabajo se expone un modelo donde bajo ciertas condiciones el equilibrio en precios es consistente con las expectativas de los inversores, reaccionando dicho equilibrio a los cambios en las mismas, es decir que el equilibrio es condicional en el nivel de expectativas y en el manejo que de ellas se pueda hacer, sin perjuicio de potenciales efectos de “manada” en situaciones de información imperfecta. En el final del trabajo exponemos información sintética sobre casos que pueden ser presentados como burbujas a los efectos de la discusión de su naturaleza.

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Bibliographic Info

Paper provided by Universidad del CEMA in its series CEMA Working Papers: Serie Documentos de Trabajo. with number 361.

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Length: 19 pages
Date of creation: Dec 2007
Date of revision:
Handle: RePEc:cem:doctra:361

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Keywords: Activos financieros; burbujas; expectativas; conducta; equilibrio.;

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  1. Grossman, G.M. & Yanagawa, N., 1992. "Asset Bubbles and Endogenous Growth," Papers, Princeton, Woodrow Wilson School - Public and International Affairs 160, Princeton, Woodrow Wilson School - Public and International Affairs.
  2. Alberto Martin & Jaume Ventura, 2003. "Economic growth with bubbles," Economics Working Papers 848, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2011.
  3. Markus K Brunnermeier, 2002. "Bubbles and Crashes," FMG Discussion Papers, Financial Markets Group dp401, Financial Markets Group.
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