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Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers

Author

Listed:
  • luis Fernando Melo
  • Hernán Rincón
Abstract
La crisis financiera internacional entre 2007 y 2009 causó grandes y a la vez bruscos movimientos de capitales entre economías avanzadas y emergentes, que fueron acompañados por cambios de similares características en los precios de los activos de éstas últimas, lo que se convirtió en un reto para las autoridades. El objetivo del documento es cuantificar y evaluar el grado de asociación entre los mercados financieros de las economías avanzadas y los precios de los activos de las economía más grandes de Latinoamérica, antes y después del anuncio de la quiebra de Lehman Brothers. Para cumplir con el objetivo se utiliza información diaria entre 2006 y 2011 y un análisis de multiplicadores a partir de un modelo de regresión VARX-GARCH. Los resultados muestran que los multiplicadores son significativos y relativamente pequeños; generalmente con los signos esperados, aunque heterogéneos para la muestra de países estudiados; de corta duración; imétricos; volátiles; y en muchos casos responden de manera opuesta antes y después de Lehman Brothers, lo que indicaría que en esta fecha se produjo un cambio estructural en los mercados internacionales de capitales. Con base en estos resultados se concluye que es difícil extraer una conclusión general sobre la asociación entre los precios de los activos externos y sus pares locales, excepto por los precios de las acciones, que sin ambigüedad resultan plenamente asociados, independientemente de la economía o del estado de la crisis.

Suggested Citation

  • luis Fernando Melo & Hernán Rincón, 2012. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Borradores de Economia 9450, Banco de la Republica.
    • Handle: RePEc:col:000094:009450
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    References listed on IDEAS

    as
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    Citations

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    Cited by:

    1. Wilmar Alexander Cabrera Rodríguez & Luis Fernando Melo Velandia & Daniel Parra Amado, 2014. "Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR," Revista ESPE - Ensayos Sobre Política Económica, Banco de la República, vol. 32(75), pages 1-22, December.
    2. Diego Alejandro Martínez Cruz & José Fernando Moreno Gutiérrez & Juan Sebastián Rojas Moreno, 2015. "Evolución de la relación entre bonos locales y externos del gobierno colombiano frente a choques de riesgo," Borradores de Economia 919, Banco de la Republica de Colombia.
    3. Fernando Arias & David Delgado & Daniel Parra & Hernán Rincón-Castro, 2016. "Gross Capital Flows and their long-term Determinants for Developing Economies: A Panel Co-integration Approach," Borradores de Economia 932, Banco de la Republica de Colombia.
    4. Sandoval Paucar, Giovanny, 2018. "Contagio Financiero: Una Breve Revisión De Literatura [Financial Contagio: A Review Literature]," MPRA Paper 89554, University Library of Munich, Germany.
    5. Luis Fernando Melo & Hernán Rincón, 2013. "Choques externos y precios de los activos en Latinoamérica antes y después de la quiebra de Lehman Brothers," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 31(71), pages 1-35, June.
    6. Arias, Fernando & Parra-Amado, Daniel & Garrido, Daira, 2013. "¿Responden los diferentes tipos de flujos de capitales a los mismos fundamentos y en el mismo grado? : evidencia reciente para países emergentes," Chapters, in: Rincón-Castro, Hernán & Velasco, Andrés M. (ed.), Flujos de capitales, choques externos y respuestas de política en países emergentes, chapter 2, pages 53-81, Banco de la Republica de Colombia.
    7. Sandoval Paucar, Giovanny, 2018. "Efectos de desbordamiento sobre los mercados financieros de Colombia. Identificación a través de la heterocedasticidad [Spillovers effects on financial markets of Colombia. Identification through h," MPRA Paper 90422, University Library of Munich, Germany.
    8. Sandoval Paucar, Giovanny, 2019. "Modelación de la correlación condicional para el mercado bursátil colombiano: una aplicación de DCC – MGARCH [Modeling of the conditional correlation for the Colombian stock market: a DCC applicati," MPRA Paper 92534, University Library of Munich, Germany, revised 04 Mar 2019.

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    More about this item

    Keywords

    Choques externos; precios de los activos; modelo VARX-MGARCH; Análisis de multiplicadores; LAC-5.;
    All these keywords.

    JEL classification:

    • F31 - International Economics - - International Finance - - - Foreign Exchange
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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