Financial crises: An approach from expectations at asset markets

This paper describes the different mechanisms applied by agents when forming their expectations along asset markets literature. Rational, extrapolative and adaptative expectations are being reviewed, as well as some other more alternative approaches such as natural expectations. The goal leading us...

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Autor principal: Santocono, Sebastián
Formato: Artículo publishedVersion Text Texto
Lenguaje:Español
Publicado: FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES 2019
Materias:
Asset Markets
Bubbles
Expectations
Financial Crisis
Mercados de Activos
Burbujas
Expectativas
Crisis Financieras
Acceso en línea:https://ojs.economicas.uba.ar/REPBA/article/view/1574
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1574_oai
Aporte de:
Repositorio Digital de la Universidad de Buenos Aires (UBA) de Universidad de Buenos Aires
id I28-R145-1574_oai
record_format dspace
spelling I28-R145-1574_oai2025-02-11 Santocono, Sebastián 2019-06-01 This paper describes the different mechanisms applied by agents when forming their expectations along asset markets literature. Rational, extrapolative and adaptative expectations are being reviewed, as well as some other more alternative approaches such as natural expectations. The goal leading us through their examination is to find which one contributes the most at making models able to replicate empirical results. Particularly, which kind of expectations allows a better replication of asset bubbles formation, persistence and final collapse. In this terms, the best fit is given by extrapolative expectations, which are also those describing better the way agents behave at real asset markets. El presente trabajo realiza un recorrido a lo largo de la bibliografía relativa a mercados de activos para dar cuenta de las diversas variantes que pueden caracterizar la formación de expectativas por parte de los agentes involucrados en dicho mercado. El recorrido, que comenzará con el típico caso de expectativas racionales, incluirá una extensa escala en la alternativa conocida como expectativas extrapolativas, luego se adentrará en las expectativas adaptativas y, finalmente, hará menciones menores de otras opciones, entre las que se encuentra la de expectativas naturales. A lo largo del camino, el foco estará siempre puesto en analizar qué variante se corresponde mejor con la replicación de lo observado en los mercados de la realidad, especialmente a la hora de dar cuenta de la formación, perduración y posterior caída de las denominadas burbujas. Veremos que las expectativas extrapolativas, son la alternativa que mejor cumple con esta tarea, además de condecirse con el comportamiento de los agentes que participan en mercados de activos en la realidad. application/pdf text/html https://ojs.economicas.uba.ar/REPBA/article/view/1574 spa FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES https://ojs.economicas.uba.ar/REPBA/article/view/1574/2225 https://ojs.economicas.uba.ar/REPBA/article/view/1574/2240 Revista de Economía Política de Buenos Aires; Vol. 13 No. 18 (2019): Revista de Economía Política de Buenos Aires; 117-154 Revista de Economía Política de Buenos Aires; Vol. 13 Núm. 18 (2019): Revista de Economía Política de Buenos Aires; 117-154 1853-1350 1850-6933 urn:issn:1853-1350repba.v0i188 Asset Markets Bubbles Expectations Financial Crisis Mercados de Activos Burbujas Expectativas Crisis Financieras Financial crises: An approach from expectations at asset markets Crisis macroeconómicas desatadas en los mercados de activos: Un enfoque desde las expectativas info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion Text Texto https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1574_oai
institution Universidad de Buenos Aires
institution_str I-28
repository_str R-145
collection Repositorio Digital de la Universidad de Buenos Aires (UBA)
language Español
orig_language_str_mv spa
topic Asset Markets
Bubbles
Expectations
Financial Crisis
Mercados de Activos
Burbujas
Expectativas
Crisis Financieras
spellingShingle Asset Markets
Bubbles
Expectations
Financial Crisis
Mercados de Activos
Burbujas
Expectativas
Crisis Financieras
Santocono, Sebastián
Financial crises: An approach from expectations at asset markets
topic_facet Asset Markets
Bubbles
Expectations
Financial Crisis
Mercados de Activos
Burbujas
Expectativas
Crisis Financieras
description This paper describes the different mechanisms applied by agents when forming their expectations along asset markets literature. Rational, extrapolative and adaptative expectations are being reviewed, as well as some other more alternative approaches such as natural expectations. The goal leading us through their examination is to find which one contributes the most at making models able to replicate empirical results. Particularly, which kind of expectations allows a better replication of asset bubbles formation, persistence and final collapse. In this terms, the best fit is given by extrapolative expectations, which are also those describing better the way agents behave at real asset markets.
format Artículo
publishedVersion
Text
Texto
author Santocono, Sebastián
author_facet Santocono, Sebastián
author_sort Santocono, Sebastián
title Financial crises: An approach from expectations at asset markets
title_short Financial crises: An approach from expectations at asset markets
title_full Financial crises: An approach from expectations at asset markets
title_fullStr Financial crises: An approach from expectations at asset markets
title_full_unstemmed Financial crises: An approach from expectations at asset markets
title_sort financial crises: an approach from expectations at asset markets
publisher FACULTAD DE CIENCIAS ECONÓMICAS - UNIVERSIDAD DE BUENOS AIRES
publishDate 2019
url https://ojs.economicas.uba.ar/REPBA/article/view/1574
https://repositoriouba.sisbi.uba.ar/gsdl/cgi-bin/library.cgi?a=d&c=ecopol&d=1574_oai
work_keys_str_mv AT santoconosebastian financialcrisesanapproachfromexpectationsatassetmarkets
AT santoconosebastian crisismacroeconomicasdesatadasenlosmercadosdeactivosunenfoquedesdelasexpectativas
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