Asset Prices in Chile: Arbitrage and Bubbles

Raphael Bergoeing, Felipe Morandé and Raimundo Soto

Journal Economía Chilena (The Chilean Economy), 1999, vol. 2, issue 2, 039-053

Abstract: This article presents evidence on the main empirical regularities exhibited by the prices of real asset prices in Chile during the last twenty years. By using a dynamic error-correction model, tests are performed on long-run arbitrage conditions between the prices of different assets (land, real estate, and stocks) and short-run relationships between asset prices and exogenous policy and idiosyncratic variables. The presence of "bubbles" that is, the phenomenon in which asset prices depart from what is explained by their fundamentals - is also tested for the last decade. Finally, by running some countetfactual exercises, the impact of different macro policies on asset price trajectories is simulated. However one should be cautious in interpreting the simulation results, as the main objectives of macro policies may have not been to influence asset prices in any direction but rather to achieve more global aims.

Date: 1999
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://si2.bcentral.cl/public/pdf/revista-economi ... 2ago1999p039-053.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:chb:bcchec:v:2:y:1999:i:2:p:039-053

Access Statistics for this article

Journal Economía Chilena (The Chilean Economy) is currently edited by Álvaro Aguirre, Sofía Bauducco and Andrés Fernández

More articles in Journal Economía Chilena (The Chilean Economy) from Central Bank of Chile Contact information at EDIRC.
Bibliographic data for series maintained by Fredherick Sanllehi ().