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Una propuesta para el diseño de un test de estrés del mercado de renta variable a un escenario energético

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  • Javier Ojea Ferreiro

Abstract

Este artículo propone una metodología flexible que capta la asimetría y los potenciales cambios estructurales en la relación entre el mercado de renta variable y el mercado del petróleo. El modelo recoge la mayor dependencia entre ambos mercados en situaciones de estrés. El estudio analiza la respuesta de la renta variable europea a una situación extrema (un shock) en el mercado energético. El ejercicio tiene una relevancia especial, dado el creciente interés en los riesgos de una transición disruptiva a una economía de bajo consumo de carbono.

Suggested Citation

  • Javier Ojea Ferreiro, 2019. "Una propuesta para el diseño de un test de estrés del mercado de renta variable a un escenario energético," CNMV Documentos de Trabajo CNMV Documentos de Trabaj, CNMV- Comisión Nacional del Mercado de Valores - Departamento de Estudios y Estadísticas.
    • Handle: RePEc:cnv:docutr:69_ojea_documento_trabajo
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