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Relación de equilibrio en la Morosidad y el Deterioro de la cartera de hipotecas bursatilizadas en México

Author

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  • Margarita María Mosso Martínez

    (Universidad Anáhuac México)

  • Francisco López-Herrera

    (Universidad Nacional Autónoma de México)

Abstract

En este trabajo se muestran los resultados del estudio sobre la relación de equilibrio de largo plazo morosidad y el deterioro de la cartera de hipotecas bursatilizadas en México. Por medio de técnicas econométricas de series de tiempo, se estudiaron las relaciones entre los índices de la mora y el deterioro, así como las relaciones de largo plazo y dinámicas entre dichos índices. Los resultados señalan con cuanto tiempo es posible anticipar el deterioro en la ocurrencia de la mora y el propio deterioro de la cartera de hipotecas bursatilizadas. Se recurre a un modelo autorregresivo de rezagos distribuidos (ARDL) para explicar el deterioro de dicha cartera con base en las variables del conjunto original, incluyendo el efecto de la existencia de una relación de largo plazo como lo muestra la prueba de cointegración de Pesaran y Shin. Se identificó la existencia de una relación de largo plazo entre la morosidad y el deterioro de la cartera de hipotecas bursatilizadas, la evidencia empírica muestra que los cambios en la morosidad en un mes anterior producen aumentos en el deterioro. El comportamiento puede explicarse por los cambios que se generan en la morosidad; una posible explicación tiene su origen en los factores de riesgo sistemático que inciden en la morosidad.

Suggested Citation

  • Margarita María Mosso Martínez & Francisco López-Herrera, 2019. "Relación de equilibrio en la Morosidad y el Deterioro de la cartera de hipotecas bursatilizadas en México," Revista de Investigación en Ciencias Contables y Administrativas, Universidad Michoacana de San Nicolás de Hidalgo, Facultad de Contaduría y Ciencias Administrativas, vol. 5(1), pages 3-31, December.
    • Handle: RePEc:msn:rijrnl:v:5:y:2019:i:1:p:3-31
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    References listed on IDEAS

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