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

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  • 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

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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 704.

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Length: 45
Date of creation: Apr 2012
Date of revision:
Handle: RePEc:bdr:borrec:704

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Keywords: Choques externos; precios de los activos; modelo VARX-MGARCH; Análisis de multiplicadores; LAC-5. Classification JEL: F31; F36; G15; C5.;

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Cited by:
  1. Fernando Arias & Daira Garrido & Daniel Parra & Hernán Rincón, 2012. "¿Responden los diferentes tipos de flujos de capitales a los mismos fundamentos y en el mismo grado? Evidencia reciente para países emergentes," BORRADORES DE ECONOMIA 009764, BANCO DE LA REPÚBLICA.

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