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Master's Dissertation
DOI
https://doi.org/10.11606/D.92.2002.tde-16022022-123616
Document
Author
Full name
Ana Paula Neves Granieri Domenici
E-mail
Institute/School/College
Knowledge Area
Date of Defense
Published
São Paulo, 2002
Supervisor
Committee
Francisco, Gerson (President)
Fonseca Junior, Amaury
Rosenfeld, Rogério
Title in Portuguese
Um modelo de expectativas racionais para crashes
Keywords in Portuguese
Ciclos econômicos
Crise financeira
Abstract in Portuguese
Este estudo apresenta um modelo de expectativas racionais para bolhas e crashes. O modelo possui duas premissas básicas: 1) os grandes crashes são causados pela tendência que existe entre os traders à situação das ações de seus vizinhos. Esse processo cresce até um ponto em que todos estão praticando a mesma ordem de venda e o sistema colapsa, causando os crashes. 2) uma hipótese que, já que os crashes não são pontos determinísticos, ainda é racional para os traders manterem seus investimentos, motivados pelas altas taxas de retorno causadas pelo crescimento das bolhas especulativas e correr o risco de um crash. O final de uma bolha não é necessariamente o início de um crash, embora seja seu momento mais provável. Existe ainda uma probabilidade finita de ocorrer o final de uma bolha sem que o crash ocorra. O modelo apresenta previsões específicas sobre a presença de movimentos log-periódicos na formação de preços em periódicos que antecedem os crashes. Analisamos também evidências empíricas observadas no mercado norte-americano e testamos as hipóteses para o mercado acionário brasileiro durante a década de 90
Title in English
A model of rational expectations for crashes
Keywords in English
Business cycles
Financial crisis
Abstract in English
A rational expectation model for bubbles and crashes is studied. This model has two basic assumptions: 1) The big crashes are caused by local imitation between traders. This process grows up to a certain time when all traders are placing the same sell order at the same moment and the system goes into a collapse, causing a crash. 2) The hypothesis that, once the crashes are not deterministic points, it is still rational for the traders to keep their investments provided that they are compensated by higher spreads caused by the growth of the speculative bubble and taking the risk of the crash. The end of a bubble is not necessarily the beginning of a crash, even though it is the most probable time. There is a finite probability of ending a bubble without havíng a crash. The model has specific predictions about a critical log-periodic patterns in pre-crash prices. Finally, we test the model for Brazihan markets in the 90's based on empirical evidentes observed in US stock markets
 
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Publishing Date
2022-02-16
 
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