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Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão


  • Diógenes Manoel Leiva Martin


  • Eduardo Kazuo Kayo


  • Herbert Kimura


  • Wilson Toshiro Nakamura



The present article intend to verify the presence of speculative rational bubbles, starting from the identification of switching regime of the returns generation process in the brazilian market exchange, BOVESPA, for the Plano Real period (July of 1994 to March of 2004). In order to achieve this end, it was used of the model of markovian switching regime that allows to verify the nonlinear structure of the data and it is relation to the conditional mean and conditional variance. As result the dynamics of the data generation process, the returns can be described as function of two regimes (“bull markets” and “bear markets”). These cycles, however, they could be decomposed in other cycles, initial and final phases of the growth cycle (“bull”) and decrease (“bear”). This decomposition was shown more coherent with the concept of speculative bubble, in which there is a nonlinear relationship between the price and their foundations

Suggested Citation

  • Diógenes Manoel Leiva Martin & Eduardo Kazuo Kayo & Herbert Kimura & Wilson Toshiro Nakamura, 2004. "Identificando Bolhas Especulativas Racionais no IBOVESPA (Pós-Plano Real), a partir de Regimes Markovianos de Conversão," Economia, ANPEC - Associação Nacional dos Centros de Pósgraduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 5(3), pages 219-252.
  • Handle: RePEc:anp:econom:v:5:y:2004:i:3:p:219-252

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    References listed on IDEAS

    1. Taylor, Mark P & Peel, David A & Sarno, Lucio, 2001. "Nonlinear Mean-Reversion in Real Exchange Rates: Toward a Solution to the Purchasing Power Parity Puzzles," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 42(4), pages 1015-1042, November.
    2. Taylor, Lance, 1994. "Gap models," Journal of Development Economics, Elsevier, vol. 45(1), pages 17-34, October.
    3. Douglas Gollin, 2002. "Getting Income Shares Right," Journal of Political Economy, University of Chicago Press, vol. 110(2), pages 458-474, April.
    4. Jesus Felipe & Franklin M. Fisher, 2003. "Aggregation in Production Functions: What Applied Economists should Know," Metroeconomica, Wiley Blackwell, vol. 54(2-3), pages 208-262, May.
    5. Shaikh, Anwar, 1974. "Laws of Production and Laws of Algebra: The Humbug Production Function," The Review of Economics and Statistics, MIT Press, vol. 56(1), pages 115-120, February.
    6. Mark P. Taylor, 2003. "Purchasing Power Parity," Review of International Economics, Wiley Blackwell, vol. 11(3), pages 436-452, August.
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    Cited by:

    1. Nunes, Maurício Simiano & da Silva, Sérgio, 2009. "Bolhas Racionais no Índice Bovespa," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 63(2), June.

    More about this item


    Bolha Especulativa Racional; Regimes Markovianos de Conversão; Não Linearidades; Eficiência de Mercado;

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • C39 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Other
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection


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