Resumo

URIBE GIL, Jorge Mario  e  ULLOA VILLEGAS, Inés María. Financial Bubbles: Two Identification Methods Applied in Colombia. Soc. Econ. [online]. 2014, n.27, pp.47-72. ISSN 1657-6357.

In the present article two different econometric approaches to date multiple bubbles are explored. The methodologies are applied to the prices of three important financial variables in the Colombian economy: the exchange rate, the stock market index (IGBC) and the oil price WTI. Both approaches are based on the analysis of the integration order of the series involved. The first one uses a robust method to detect random walks, based on a sign test. The second one is built using variance ratios, frequently employed in the literature to test market weak efficiency. The measures are estimated dynamically and tests of power and size are provided. Evidence in favor of bubbles is found in two series out of three, for recent periods of time.

Palavras-chave : Speculative Bubbles; Random Walk; Sign Test; Variance Ratios; Colombian Financial Markets.

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