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Thursday, July 07, 2005

Soñando con burbujas

David Altig nos refiere a "Marginal Revolution" y me hace recordar alguna clase de Finanzas y lo inestable de los modelos de valoración de activos cuando la tasa de descuento es cercana al crecimiento proyectado.

El punto interesante es que es posible un escenario así se magnifica con las actuales bajas tasas de interés:

macroblog: The Best Advice You Will Get On Thinking About Bubbles:
"My notice of Alex Tabarrok's post on bubblemania is a few days overdue -- hey, it's summertime, and the blogging ain't easy -- but what he has to say is too good to pass without comment:
Is there a housing bubble? Some say yes, some say no. I say who cares? The real question is not whether there is a bubble the question is, What are the chances that housing prices will fall dramatically? Contrary to popular belief, knowledge of whether prices are following fundamentals or a bubble tells us very little about this question.
An efficient market is not necessarily a stable market. Indeed, an efficient market can be as or even more volatile than a market plagued by bubbles.

My thoughts exactly. Alex provides a quick overview of why arguing about bubbles or not-bubbles is such a dubious exercise, relying on some straightforward economic theory:
Consider the stock market - the price to earnings ratio can be written (using the Gordon Growth Model) as P/E=D/E*(1+g)/(r-g) where g is the growth rate of dividends and r is the discount rate. Since r and g are small a small change in g can have a large effect on the P/E ratio - so much in fact that it is very difficult to reject a model of stock prices based solely on fundamentals (see my paper with Gary Santoni or the Barsky and DeLong classic Why Does the Stock Market Fluctuate (JSTOR).)

The principles are similar with respect to the housing market. "


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