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COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America

Author

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  • Andre Assis de Salles

    (Federal University of Rio de Janeiro, Brasil)

Abstract

Este trabajo tiene como objetivo estimar el riesgo idiosincrásico de las economías latinoamericanas y las economías emergentes utilizando modelos condicionales heterocedásticos para verificar el impacto de la pandemia Covid-19 sobre el riesgo asociado a los proyectos productivos. La metodología utilizada se basa en la teoría de la cartera para estimar el riesgo idiosincrásico. Los resultados destacan que las economías latinoamericanas son más susceptibles a crisis sanitarias que las economías emergentes. La incapacidad de los países emergentes para generar los ahorros necesarios para su desarrollo, impone la necesidad de atraer recursos para la financiación e inversión de proyectos. Así, determinar el riesgo específico de los países latinoamericanos es fundamental para los inversores internacionales dándoles un parámetro más a la hora de decidir sobre inversián o financiación en el continente. De manera original, este trabajo demuestra cómo la crisis derivada de la pandemia Covid-19 afectó el riesgo idiosincrásico o especéfico de las economías latinoamericanas utilizando sus indicadores del mercado de capitales. Este estudio contribuye a la evaluación del riesgo específico o riesgo país de las economías latinoamericanas al inicio de la pandemia.

Suggested Citation

  • Andre Assis de Salles, 2021. "COVID-19 Pandemic Initial Effects on the Idiosyncratic Risk in Latin America," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, vol. 16(3), pages 1-21, Julio - S.
    • Handle: RePEc:imx:journl:v:16:y:2021:i:3:a:5
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    References listed on IDEAS

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    More about this item

    Keywords

    Covid-19 Pandemic; Idiosyncratic Risk; Latin American Economy;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F36 - International Economics - - International Finance - - - Financial Aspects of Economic Integration
    • G01 - Financial Economics - - General - - - Financial Crises
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • N26 - Economic History - - Financial Markets and Institutions - - - Latin America; Caribbean

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