Advanced Search
MyIDEAS: Login to save this paper or follow this series

Relación entre el riesgo sistémico del sistema financiero y el sector real: un enfoque FAVAR

Contents:

Author Info

  • Wilmar Alexander Cabrera Rodríguez

    ()

  • Luis Fernando Melo Velandia

    ()

  • Daniel Parra Amado

    ()

Abstract

Este documento estima los efectos de choques de origen financiero y real sobre un conjunto de variables de la economía colombiana. Para ello, se utiliza un modelo FAVAR que incorpora dos factores no observados, los cuales recogen la dinámica de 111 variables de la economía colombiana entre el primer trimestre de 2003 y el primer trimestre de 2013. El modelo FAVAR desarrollado en este trabajo corresponde a una extensión del modelo propuesto por Bernanke et al. [2005], que supone que las series, además de ser explicadas por el componente común, también son modeladas por un componente idiosincrático. Con dicha estimación se realizan dos ejercicios: (i) Análisis de impulso respuesta de las variables económicas frente a choques en los factores real y financiero y (ii) cuantificar el efecto que tiene un evento de estrés en el sector financiero sobre el sector real y viceversa; para ello se propone el CoFaR, medida alterna al CoVaR que recientemente ha sido utilizada en la literatura económica (Adrian y Brunnermeier [2011]). Los resultados obtenidos sugieren que los estrechos vínculos entre los dos sectores propagan los choques en ambas direcciones. En particular, el sector financiero reacciona de manera más rápida ante un choque en la actividad real, en comparación con el efecto de un choque financiero al sector real.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.banrep.gov.co/sites/default/files/publicaciones/archivos/be_810.pdf
Download Restriction: no

Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Borradores de Economia with number 810.

as in new window
Length: 30
Date of creation: Feb 2014
Date of revision:
Handle: RePEc:bdr:borrec:810

Contact details of provider:
Postal: Cra 7 # 14-78 Piso 7
Phone: (57-1) 3431111
Fax: (57-1) 2841686
Email:
Web page: http://www.banrep.org/publicaciones/pub_borra.htm
More information through EDIRC

Related research

Keywords: Riesgo Sistémico; Modelo FAVAR; CoVaR Classification JEL: C50; G28; E60;

Other versions of this item:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Ben S. Bernanke & Mark Gertler, 1995. "Inside the Black Box: The Credit Channel of Monetary Policy Transmission," NBER Working Papers 5146, National Bureau of Economic Research, Inc.
  2. Mauricio Cardenas & Alejandro Badel, 2003. "La crisis de financiamiento hipotecario en Colombia: Causas y consecuencias," Research Department Publications, Inter-American Development Bank, Research Department 4355, Inter-American Development Bank, Research Department.
  3. De Nicolo, Gianni & Kwast, Myron L., 2002. "Systemic risk and financial consolidation: Are they related?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 26(5), pages 861-880, May.
  4. Acharya, Viral V., 2009. "A theory of systemic risk and design of prudential bank regulation," Journal of Financial Stability, Elsevier, Elsevier, vol. 5(3), pages 224-255, September.
  5. Douglas W. Diamond & Raghuram G. Rajan, 2002. "Liquidity Shortages and Banking Crises," NBER Working Papers 8937, National Bureau of Economic Research, Inc.
  6. Ben S. Bernanke & Jean Boivin & Piotr Eliasz, 2004. "Measuring the Effects of Monetary Policy: A Factor-Augmented Vector Autoregressive (FAVAR) Approach," NBER Working Papers 10220, National Bureau of Economic Research, Inc.
  7. Jushan Bai & Serena Ng, 2002. "Determining the Number of Factors in Approximate Factor Models," Econometrica, Econometric Society, Econometric Society, vol. 70(1), pages 191-221, January.
  8. Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers, National Bureau of Economic Research, Inc 0130, National Bureau of Economic Research, Inc.
  9. Miguel Morales & Dairo Estrada, 2010. "A financial stability index for Colombia," Annals of Finance, Springer, Springer, vol. 6(4), pages 555-581, October.
  10. Xin Huang & Hao Zhou & Haibin Zhu, 2011. "Systemic risk contributions," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Macroprudential regulation and policy, volume 60, pages 36-43 Bank for International Settlements.
  11. Gianni De Nicolò & Marcella Lucchetta, 2011. "Systemic Risks and the Macroeconomy," NBER Working Papers 16998, National Bureau of Economic Research, Inc.
  12. Patro, Dilip K. & Qi, Min & Sun, Xian, 2013. "A simple indicator of systemic risk," Journal of Financial Stability, Elsevier, Elsevier, vol. 9(1), pages 105-116.
  13. Gianni De Nicoló & Myron L. Kwast, 2002. "Systemic Risk and Financial Consolidation," IMF Working Papers 02/55, International Monetary Fund.
  14. Gauthier, Céline & Lehar, Alfred & Souissi, Moez, 2012. "Macroprudential capital requirements and systemic risk," Journal of Financial Intermediation, Elsevier, Elsevier, vol. 21(4), pages 594-618.
  15. Joseph G. Haubrich & Andrew W. Lo, 2013. "Quantifying Systemic Risk," NBER Books, National Bureau of Economic Research, Inc, National Bureau of Economic Research, Inc, number haub10-1.
  16. Marvin Goodfriend & Bennett T. McCallum, 2007. "Banking and interest rates in monetary policy analysis: a quantitative exploration," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco.
  17. Kwiatkowski, D. & Phillips, P.C.B. & Schmidt, P., 1990. "Testing the Null Hypothesis of Stationarity Against the Alternative of Unit Root : How Sure are we that Economic Time Series have a Unit Root?," Papers, Michigan State - Econometrics and Economic Theory 8905, Michigan State - Econometrics and Economic Theory.
  18. Bernanke, B. & Gertler, M. & Gilchrist, S., 1998. "The Financial Accelerator in a Quantitative Business Cycle Framework," Working Papers, C.V. Starr Center for Applied Economics, New York University 98-03, C.V. Starr Center for Applied Economics, New York University.
  19. Daron Acemoglu & Asuman Ozdaglar & Alireza Tahbaz-Salehi, 2013. "Systemic Risk and Stability in Financial Networks," NBER Working Papers 18727, National Bureau of Economic Research, Inc.
  20. Francesco Belviso & Fabio Milani, 2005. "Structural Factor-Augmented VAR (SFAVAR) and the Effects of Monetary Policy," Macroeconomics, EconWPA 0503023, EconWPA.
  21. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," CFR Working Papers 12-10 [rev.], University of Cologne, Centre for Financial Research (CFR).
  22. Linda Allen & Turan G. Bali & Yi Tang, 2012. "Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 25(10), pages 3000-3036.
  23. Fabio Milani & Francesco Belviso, 2003. "Structural Factor-Augmented VAR (SFAVAR)," Computing in Economics and Finance 2003, Society for Computational Economics 278, Society for Computational Economics.
  24. John B. Taylor, 2009. "The Financial Crisis and the Policy Responses: An Empirical Analysis of What Went Wrong," NBER Working Papers 14631, National Bureau of Economic Research, Inc.
  25. Christopher A. Sims, 1992. "Interpreting the Macroeconomic Time Series Facts: The Effects of Monetary Policy," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1011, Cowles Foundation for Research in Economics, Yale University.
  26. Philip Hans Franses & Bart Hobijn, 1997. "Critical values for unit root tests in seasonal time series," Journal of Applied Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 24(1), pages 25-48.
  27. Jorge Hernán Toro Córdoba & Rocío Mora Quiñones & Daniel Parra Amado, 2012. "Flujos de capital, la crisis financiera internacional y los desbalances macroeconómicos," BORRADORES DE ECONOMIA 009803, BANCO DE LA REPÚBLICA.
  28. Furfine, Craig H, 2003. " Interbank Exposures: Quantifying the Risk of Contagion," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 35(1), pages 111-28, February.
  29. Stock, James H & Watson, Mark W, 2002. "Macroeconomic Forecasting Using Diffusion Indexes," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(2), pages 147-62, April.
  30. Koenker, Roger W & Bassett, Gilbert, Jr, 1978. "Regression Quantiles," Econometrica, Econometric Society, Econometric Society, vol. 46(1), pages 33-50, January.
  31. Helmut Elsinger & Alfred Lehar & Martin Summer, 2006. "Systemically important banks: an analysis for the European banking system," International Economics and Economic Policy, Springer, Springer, vol. 3(1), pages 73-89, April.
  32. Trapp, Monika & Wewel, Claudio, 2013. "Transatlantic systemic risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(11), pages 4241-4255.
  33. Sims, Christopher A, 1980. "Macroeconomics and Reality," Econometrica, Econometric Society, Econometric Society, vol. 48(1), pages 1-48, January.
Full references (including those not matched with items on IDEAS)

Citations

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:810. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Camilo Millán).

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.