Monetary variables and the formation of speculative bubble: a frequency synchronization analysis (1992-2013)
DOI:
https://doi.org/10.29201/peipn.v12i24.390Keywords:
financial markets, speculative bubbles, synchronizationAbstract
At present, there is an increasing tendency in studying phenomena of economic and financial nature from nonlinear approaches. In this sense, the present research tries to examine the existence of a relation between the instrumentation of monetary policy and the formation of speculative bubbles. To do that, we propose to study the relationship between these systems as chaotic to be able to determine the phase synchronization. The results show strong evidence of complete synchronization and delay synchronization between the examined sistems.
Downloads
References
Barco H. y E. Rojas (1996). Física General para estudiantes de ingeniería. Oscilaciones —Movimiento ondulatorio Termología— Electricidad. Universidad Nacional de Colombia. Manizales.
Bordo M. D. y L. J. Landon (2013). "Does expansionary monetary policy cause asset price booms; some historical and empirical evidence". National Bureau of Economic Research October 2013, Working Paper, 19585. Disponible en http://www.nber.org/papers/w19585.
Borio C. y P. Lowe (2002). "Asset prices, financial and monetary stability: exploring the nexus. BIS", working Papers, No. 114, July, pp. 125-143.
Connelly, T. J. (1996). "Chaos theory and the financial markets". Journal of Financial Planning, vol. 9, No. 6, pp. 26-32.
Detken, C. y F. Smets (2004). "Asset price booms and monetary policy". European Central Bank, Working paper series No. 364 May (2004). Retrieved from http://www.ecb.int.
Fridson, M. S. (1994). Chaos theory in the financial markets: Applying fractals, Charlottesville: CFA Institute, pp. 210-255.
Galí, J. (2013). “Monetary policy and rational asset price bubbles. National bureau of economic research”, Working Paper 18806, February 2013. http://www.nber.org/papers/w18806.
Gilchrist S. y M. Saito (2006). “Expectations, asset prices, and monetary policy: the role of learning. National bureau of economic research”, Working Paper 12442 August 2006. http://www.nber.org/papers/w12442.
Granger, C, E. Maasoumi y J. Racine (2002). “A Dependence Metric for Possibly Nonlinear Processes”, UCSD Working Paper.
Greenspan, A. (2004). “Innovations and Issues in Monetary Policy: The Last Fifteen Years Risk and Uncertainty in Monetary Policy”. American Economic Review, vol. 94, No. 2, pp. 33-40.
Hsieh, D. A. (1991). “Chaos and nonlinear dynamics: application to financial markets”. The journal of finance, vol. 46, No. 5, pp. 1839-1877.
Hirata H., M. K. A. Kose, C. Otrok, y M. E. Terrones (2013). “Global House Price Fluctuations: Synchronization and Determinants”. IMF Working Paper February.
Lawrence, C.; C. L. Ilut, R. M. Motto, y M. Rostagno (2010). “Monetary policy and stock market booms. National bureau of economic research”, Working Paper 16402. September, 2010. Disponible en http://www.nber.org/papers/w16402.
Mishkin, F. S. (2011). “How Should Central Banks Respond to Asset-Price Bubbles? The ‘Lean’ versus ‘Clean’ Debate After the GFC Reserve Bank of Australia”, Journal RBA Bulletin, junio, 2011.
Pikovsky, A.; M. Rosenblum, M. y J. Kurths (2003). Synchronization: a universal concept in nonlinear sciences, vol. 12. Cambridge University Press.
Ramírez, F. (2007). Motores Brownianos: Transporte, Caos y Sincronización. Universidad Nacional Autónoma de México.
Scheinkman, J. A. y LeBaron, B. (1989). “Nonlinear dynamics and stock returns”. Journal of Business, vol. 63, No. 3, pp. 311-337.
Takala, K., y Virén, M. (1996). “Chaos and nonlinear dynamics in financial and non-financial time series: Evidence from Finland”. European Journal of Operational Research, vol. 93, No. 1, pp. 155-172.
Trichet, J. y C. Claud (2005). “Asset price bubbles and monetary policy”. Speech by President of the ECB. 8 june 2005, Singapore.
Uribe, J. y J. Fernández (2014). “Burbujas financieras y comportamiento reciente de los mercados de acciones en América Latina”. Lecturas de Economía, vol. 81, pp. 57-90.
Downloads
Published
How to Cite
Issue
Section
License
Copyright (c) 2026 Panorama Económico
This work is licensed under a Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
