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Indice de Estabilidad Financiera para Colombia

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Author Info

  • Dairo Estrada

    ()

  • Miguel Ángel Morales Mosquera

    ()

Abstract

Los desequilibrios en los sistemas financieros actuales y de finales de los años noventa, evidenciaron una vez más los enormes costos económicos y sociales generados por los periodos de inestabilidad financiera. De allí que la construcción de índices de estrés haya empezado a ser ampliamente desarrollada como alternativa para evaluar la calidad de los sistemas financieros en el mundo. El objetivo de este documento es desarrollar un índice continuo y cuantificable con la capacidad de determinar el nivel de estrés del sistema financiero colombiano teniendo en cuenta consideraciones de rentabilidad, liquidez y probabilidad de incumplimiento. Las metodologías utilizadas abarcan la aproximación de igualdad de varianza, los componentes principales, y en general modelos para datos de conteo. Los resultados muestran que el índice logra determinar el nivel de estrés contemporáneo del sistema tanto de manera global como desagregada. Asimismo, se desarrollaron pronósticos del índice de estabilidad financiera (IEFI) usando algunas variables macroeconómicas relevantes.

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File URL: http://www.banrep.gov.co/documentos/publicaciones/report_estab_finan/2009/marzo_indice.pdf
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Bibliographic Info

Paper provided by Banco de la Republica de Colombia in its series Temas de Estabilidad Financiera with number 038.

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Handle: RePEc:bdr:temest:038

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Related research

Keywords: Indices de estrés bancario; Instituciones financieras; Monitoreo; Fragilidad financiera. Classification JEL: E44; G21; C25.;

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References

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  1. Carmen M. Reinhart & Graciela L. Kaminsky, 1999. "The Twin Crises: The Causes of Banking and Balance-of-Payments Problems," American Economic Review, American Economic Association, vol. 89(3), pages 473-500, June.
  2. Mark Illing & Ying Liu, 2003. "An Index of Financial Stress for Canada," Working Papers 03-14, Bank of Canada.
  3. Graciela L. Kaminsky, 1998. "Currency and banking crises: the early warnings of distress," International Finance Discussion Papers 629, Board of Governors of the Federal Reserve System (U.S.).
  4. O. Aspachs & C. Goodhart & M. Segoviano & D. Tsomocos & L. Zicchino, 2006. "Searching for a Metric for Financial Stability," OFRC Working Papers Series 2006fe09, Oxford Financial Research Centre.
  5. Asli Demirgüç-Kunt & Enrica Detragiache, 1998. "The Determinants of Banking Crises in Developing and Developed Countries," IMF Staff Papers, Palgrave Macmillan, vol. 45(1), pages 81-109, March.
  6. Piti Disyatat, 2001. "Currency Crises and the Real Economy," IMF Working Papers 01/49, International Monetary Fund.
  7. Andrew Berg, 1999. "The Asia Crisis," IMF Working Papers 99/138, International Monetary Fund.
  8. Enrica Detragiache & Asli Demirgüç-Kunt, 1999. "Monitoring Banking Sector Fragility," IMF Working Papers 99/147, International Monetary Fund.
  9. Elke Hanschel & Pierre Monnin, 2005. "Measuring and forecasting stress in the banking sector: evidence from Switzerland," BIS Papers chapters, in: Bank for International Settlements (ed.), Investigating the relationship between the financial and real economy, volume 22, pages 431-49 Bank for International Settlements.
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Cited by:
  1. Espino, Freddy, 2012. "Un Índice de Estabilidad Bancaria para Perú," Working Papers 2012-015, Banco Central de Reserva del Perú.

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