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Contagio financiero entre economías: un análisis exploratorio a través de la econometría. Caso Colombia - Estados Unidos

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  • Luís Ángel Meneses Cerón

    ()

  • Ronald Alejandro Macuacé Otero

    ()

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    Abstract

    El artículo, estudia las relaciones de dependencia entre los mercados financieros internacionales, indagando sobre el efecto del contagio financiero entre dos series de retornos de índices accionarios: el Dow Jones (DJ) y el índice general de la Bolsa de Valores de Colombia (IGBC). Lo anterior, gracias a que Estados Unidos es el principal país con el que Colombia mantiene un fuerte nexo comercial y económico. Se hará uso de información histórica de carácter público, comprendida entre enero 1 de 2007 y diciembre 31 de 2010, proveniente de fuentes objetivas y reconocidas en el mercado. Se desarrollará un ejercicio de tipo econométrico, en el cual se establece el nivel de relacionamiento existente entre los dos índices mencionados. El principal aporte de este trabajo es la implementación de la econometría como técnica para el análisis del contagio, que permite inferir las relaciones de causalidad entre los mercados y determinar modelos de predicción robustos que generan un mayor acervo informativo e interpretativo sobre la dinámica implícita en los retornos de los diferentes activos financieros.

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    File URL: http://portalweb.ucatolica.edu.co/easyWeb2/files/4_10060_3-contagio-financiero-entre-economaas-analisis-exploratorio-desde-la-econometria.pdf
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    Bibliographic Info

    Article provided by UNIVERSIDAD CATOLICA DE COLOMBIA in its journal REVISTA FINANZAS Y POLÍTICA ECONÓMICA.

    Volume (Year): (2012)
    Issue (Month): ()
    Pages:

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    Handle: RePEc:col:000443:010698

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    Related research

    Keywords: globalización; crisis económica global; mercados financieros; índices bursátiles; econometría.;

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    1. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March.
    2. Brooks,Chris, 2008. "Introductory Econometrics for Finance," Cambridge Books, Cambridge University Press, number 9780521694681.
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