Indice de Estabilidad Financiera para Colombia

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Indice de Estabilidad Financiera para Colombia

Author Info

Dairo Estrada ()
Miguel Ángel Morales Mosquera ()

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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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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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