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Precios de los activos bajo ambiguedad estructural: portafolios cautelosos, prudenciales y conservadores

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  • Jimmy Melo

Abstract

Este artículo analiza los efectos extensivo (portafolio conservador) e intensivo (portafolios cauteloso y prudencial) generados por 2 tipos de ambiguedad: idiosincrática y estructural. Bajo estas formas de ambiguedad los agentes no participan en algunos mercados de activos, lo cual reduce los precios de los activos por la liquidez que deja de inyectarse en estos mercados. De otro lado, al incorporar ambiguedad estructural existe una prima de ambiguedad descontada sobre los precios y, en equilibrio, un canal de trasmisión de estos efectos sobre los precios a través de los diferentes mercados. Al introducir ambiguedad estructural, considerada como ambiguedad sobre la sensibilidad de los precios a las macroinnovaciones que se agregan desde un nivel micro, es posible identificar los vínculos entre los diferentes segmentos del mercado de activos riesgosos. Con estas características, este artículo argumenta que los precios reaccionan suavemente a macroinnovaciones si el peso relativo de los agentes aversos a la ambiguedad es bajo y el vínculo objetivo entre los mercados es débil.******This paper studies the extensive (conservative portfolio) and intensive (cautious and prudential portfolios) effects emerging from two kinds of ambiguity: idiosyncratic and structural. Both kinds of uncertainty induce investors not to participate in some asset markets, which reduces prices through liquidity reduction in those markets. On the other hand, structural uncertainty implies an ambiguity premium discounted from prices and, in equilibrium, a channel of transmission of both effects across assets. The novelty of this paper is that structural uncertainty results from ambiguity on asset sensitivities to macro news aggregated from a micro level, which allows us to identify the macroeconomic linkages among market segments. Using this feature of the model, this paper concludes that current prices react slowly to macro news if the relative weight of ambiguity-averse agents is lower and the objective linkages among assets are weak.

Suggested Citation

  • Jimmy Melo, 2016. "Precios de los activos bajo ambiguedad estructural: portafolios cautelosos, prudenciales y conservadores," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 34(80), pages 91-102, June.
    • Handle: RePEc:col:000107:014682
    DOI: 10.1016/j.espe.2016.02.003
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    More about this item

    Keywords

    Ambigüedad; Aversión a la ambigüedad; Precios de los activos;
    All these keywords.

    JEL classification:

    • G01 - Financial Economics - - General - - - Financial Crises
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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