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Abstract(s)
Nesta dissertação, discutimos a definição de bolha, os traços distintivos de episódios em que surgiram, e testes econométricos existentes para verificar a sua existência. Inovamos usando Phillips et al. (2015), para testar a existência de múltiplas bolhas em datas desconhecidas, teste que supera os demais. Inovamos na aplicação empírica, testando a hipótese de bolhas nos mercados de SCDS, em países da zona Euro, na crise da dívida.
A análise sugere que o novo método é capaz de detetar bolhas múltiplas, onde a estatística SADF não o fazia. Confirmamos que o novo teste consegue detetar bolhas ainda em formação, sem que o colapso ocorra no período amostral. A deteção de bolhas quase em tempo real é possível, podendo os reguladores prevenir um rebentamento descontrolado da bolha.
Se o alavancado mercado de SCDS tinha episódios de excesso de reação, estabelecemos agora com rigor que os spreads desses CDS podem ter comportamento explosivo, tanto na fase inflacionária, como na deflacionária, da bolha, à luz do exemplo cipriota estudado. Os períodos de bolhas encontrados para os mercados que usamos na análise empírica correspondem a episódios relevantes. O nosso argumento não passa pela racionalidade ou não das bolhas, mas pela demonstração de que existem neste contexto empírico.
Demonstramos ainda que as opções de regulação são por vezes erradas: a proibição dos naked SCDS na UE não evitou bolhas posteriores, nem mitigou existentes. A regulação bancária na UE, merece reflexão pois o bail in cipriota prolongou a bolha nos spreads dos seus SCDS.
In this thesis we discuss the definition of bubble, the distinctive marks of several episodes where they have occurred, and the econometric tests for bubbles. We innovate by using the Phillips et al. (2015) test for multiple bubbles at unknown dates, which is dominant over others. We also innovate in applying the test to the bubble hypothesis in the SCDS market in the Euro periphery, during the crisis. The analysis suggests that the new method is capable of picking up multiple bubbles, whereas the prior SADF test wasn’t. It also confirms that the new test is capable of detecting bubbles while still in formation, without the burst period being in the sample. Near real time detection of bubbles is now available for regulators, allowing to prevent the negative results of the burst. The leveraged SCDS market has had episodes of excess reaction. We have now, established rigorously that SCDS spreads may exhibit explosive behaviour, both in the upward phase, and in the burst, as in the Cyprus example. The bubble periods identified for the markets chosen match relevant events. We do not argue about a rationale for bubbles. Rather we claim to have shown that they exist. We have also concluded that regulation choices are sometimes inadequate. The naked SCDS ban in the EU did not prevent subsequent bubbles, nor did it mitigate existing ones. Banking regulation in the EU desserves further care, as the Cyprus bail in has prolonged the bubble in the country’s SCDS spreads.
In this thesis we discuss the definition of bubble, the distinctive marks of several episodes where they have occurred, and the econometric tests for bubbles. We innovate by using the Phillips et al. (2015) test for multiple bubbles at unknown dates, which is dominant over others. We also innovate in applying the test to the bubble hypothesis in the SCDS market in the Euro periphery, during the crisis. The analysis suggests that the new method is capable of picking up multiple bubbles, whereas the prior SADF test wasn’t. It also confirms that the new test is capable of detecting bubbles while still in formation, without the burst period being in the sample. Near real time detection of bubbles is now available for regulators, allowing to prevent the negative results of the burst. The leveraged SCDS market has had episodes of excess reaction. We have now, established rigorously that SCDS spreads may exhibit explosive behaviour, both in the upward phase, and in the burst, as in the Cyprus example. The bubble periods identified for the markets chosen match relevant events. We do not argue about a rationale for bubbles. Rather we claim to have shown that they exist. We have also concluded that regulation choices are sometimes inadequate. The naked SCDS ban in the EU did not prevent subsequent bubbles, nor did it mitigate existing ones. Banking regulation in the EU desserves further care, as the Cyprus bail in has prolonged the bubble in the country’s SCDS spreads.
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Keywords
Bolhas Teste PSY Mercado de derivados Crise de dívida Bubbles PSY test Derivatives markets Debt crisis